Sebastiano spent his youth in Milan; Because of his good manners, he was appointed officer in the bodyguard of Emperors Diocletian and Maximian. According to tradition, Sebastian, as captain of the Praetorian Guard at the imperial court, publicly confessed to Christianity and helped needy Christians, whereupon Diocletian sentenced him to death and had him shot by Numidian archers.

Believing he was dead, he was left there afterwards. Sebastian, however, was not dead, but was given to him by a pious widow, St. Irene, who actually wanted to prepare him for the funeral, was nursed back to health. After his recovery he returned to Diocletian and professed Christianity again. Diocletian then ordered him to be beaten to death with clubs in the circus. Sebastian's body was thrown into the Cloaca Maxima, an urban drainage ditch near the Tiber, from which it was salvaged by Christians after he is said to have shown them in a dream where he was staying.

Then he was buried in the Sebastian Catacomb. The church of San Sebastiano fuori le mura was built over his grave as early as the 4th century.