Born Cataldo Baglio in Palermo in a family of modest means originally from San Cataldo (Calabria) – after which he was named - he eventually moves to Milan in 1961. There he graduates from acting school at the Teatro Arsenale, and in the early 1980s he starts doing stand up with Giovanni Storti, with whom he later forms a comedy duo called I Suggestionabili ("the suggestibles"). In 1985 he starts performing at the Palmasera Village Resort in Cala Gonone, Sardegna, with Marina Massironi, Giacomo Poretti, as well as with Storti. Several other Italian comedians, such as Stefano Belisari (of Elio e le Storie Tese), Giorgio Porcaro, Mario Zucca, Marino Guidi and Eraldo Moretto, also have their origins in the same comedy group. That is also the year when Poretti, Storti e Baglio found the comedy trio "Aldo, Giovanni & Giacomo" (initially named "Galline Vecchie Fan Buon Brothers").

While in the trio, Baglio also collaborates with the comedy rock band Elio e le storie tese: one can hear his voice in the song "Mio cuggino" (from the album "Eat the Phikis" from 1996), in which he tells various urban legends, couched as news heard from a hypothetical cousin ("cugino"). He also helps producing the song's video. In 2006 he has his first experience as a voice actor in the Italian dubbed version of the French movie "Mauvais esprit." Recruited by the director Giuseppe Tornatore, he even had a small role in the film Baarìa.