Stanković then passed every age category at his hometown club.In the youth teams, he was coached by Pižon Petrović, playing alongside future professionals Nikola Lazetić and Nenad Lalatović.During the 1994–95 season, Stanković's debut opportunity for first team action came under head coach Ljupko Petrović against crosstown rivals OFK Beograd on 11 February 1995. Fighting for a spot on the team led by, among others, Rambo Petković, Darko Kovačević, and Nebojša Krupniković, 16-year-old Dejan made seven league appearances that season as the team won league title. He scored his first goal against Budućnost Podgorica, soon becoming a first team regular and a fan favourite.Before the start of the 1997–98 season, he was made squad captain at the tender age of 19, the youngest ever in the club's history. Despite not winning the league he captained the team to two domestic cup victories.
In the summer of 1998, he transferred for £7.5 million (DM24 million) to Lazio,[citation needed] where he scored on his Serie A debut versus Piacenza on 13 September 1998. In those years, Lazio had an all-star squad with world class players at almost every position, but Stanković quickly secured a regular first-team place despite competition from fellow midfielders Pavel Nedvěd, Juan Sebastián Verón, and Roberto Mancini. He formed a formidable midfield combination with Nedvěd and Mancini and were an integral part of the successful Lazio side at the turn of the decade. His work rate and impressive performances earned him the nickname Il Dragone (The Dragon) from fans. He had five-and-a-half successful seasons in the biancoceleste part of Rome, before earning a high profile move to Internazionale in February 2004.
The fact that old friend, former teammate, and head coach from Lazio Roberto Mancini was already rumoured to be soon taking over the head coaching duties at Inter may have influenced Stanković's decision. In early February 2004, Stanković played his debut match for Inter under head coach Alberto Zaccheroni, a Serie A clash at home against Siena that ended 4–0. On 21 February 2004, he scored a spectacular goal directly from a corner kick to put Inter 1–0 up in Derby della Madonnina versus fierce rivals Milan
Inter finished the league season in fourth place thus qualifying for Champions League. Still, president Massimo Moratti was not convinced with Zaccheroni and at the end of the season, just like rumoured, brought Mancini from the financial shipwreck at Lazio. The head coaching change suited Stanković just fine and he got reunited with another familiar face from Lazio – Siniša Mihajlović. On 7 May 2006, Stanković played his 100th match for Inter. Coming off the summer appearance at the 2006 World Cup, Stanković carried excellent form right from the start of the 2006–07 Serie A campaign, scoring some decisive goals. His strike against Catania and his memorable goal against city rivals Milan only further enhanced his already glowing reputation with Internazionale fans. According to the official ratings of the La Gazzetta dello Sport, Stanković was selected as the man of the match five times throughout the 2006–07 Serie A campaign. He renewed his contract on 2 February 2007, with Inter securing his services until at least 2010.