Julio signed with the Montreal Expos on February 14, 1996. He played in their minor league organization until he was traded to the Baltimore Orioles for Ryan Minor on December 22, 2000.
Baltimore Orioles
Julio's first season in the majors was 2001 with the Orioles, in which he compiled a record of 1 win and 1 loss with a 3.80 ERA in 21.1 innings pitched; however, Julio's first full season in the majors was 2002, in which he went 5–6, posting a 1.99 ERA with 25 saves and 55 strikeouts in 68 innings. He finished third in the American League Rookie of the Year voting with 1 second-place vote and 11 third-place votes. However, he was unable to duplicate his rookie season success in the seasons that followed and eventually lost his job as the Orioles closer to B. J. Ryan at the end of 2004. Julio began 2005 as the set-up man for Ryan. During April of that season, he allowed just one earned run in 12 ⅔ innings pitched; despite that, his performance declined and he finished the season 3–5 with a 5.90 ERA in 67 appearances.
He was traded to the Arizona Diamondbacks on May 24, 2006, for Orlando Hernández. He replaced José Valverde as the Arizona closer and saved 15 games in 19 opportunities before losing the closer job to Valverde in early September. On March 26, 2007, Julio was traded to the Florida Marlins for Yusmeiro Petit
Florida Marlins
On March 26, 2007, Julio was traded to the Florida Marlins for Yusmeiro Petit and was named their closer coming out of spring training. But after failing to record a save in three opportunities, he was removed from the closer role in mid-April. On May 12, 2007, in his last outing as a Marlin, he gave up a walk-offgrand slam to Ryan Zimmerman of the Washington Nationals. He was traded to the Colorado Rockies for Byung-hyun Kim the following day.
Colorado Rockies
He was traded to the Colorado Rockies for Byung-hyun Kim in May 2007. He pitched in both a middle relief and a set-up role for Colorado, appearing in 58 games and posting an 0–3 record with a 3.93 ERA for the Rockies. He also gave up a two-run homer in the 13th inning to Scott Hairston in the 2007 Wild Card Game Playoff. The Rockies rallied to win the game in the bottom for the 13th. Julio was granted free agency from the Rockies on October 27, 2007.
Cleveland Indians
Julio was granted free agency from the Rockies on October 27, 2007; he promptly signed a minor-league deal with the Cleveland Indians on January 31, 2008, and was invited to their spring training camp. His contract was purchased by the team on March 25, 2008, and he was on their opening day roster. However, after 15 generally ineffective relief appearances, he was designated for assignment on May 28, 2008, and was later released on June 2. He posted a 0–0 record and 5.60 ERA in those 15 appearances.
Atlanta Braves
Shortly after his release, Julio signed a minor league contract with the Atlanta Braves. In the final month of the 2008 season, Julio appeared in 12 games for the Braves, winning three games and posting a 0.73 ERA.
Milwaukee Brewers
On December 4, 2008, Julio signed a one-year contract with the Milwaukee Brewers. On June 2, 2009, Julio was released by the Brewers, after compiling a 1–1 record and a 7.79 earned run average.
Julio was signed by the Tampa Bay Rays on June 9, 2009, and reported to their Triple-A affiliate Durham Bulls. He was later released on August 7, 2009.
On April 2, 2010, Julio signed a deal to join the independent Bridgeport Bluefish for the 2010 season. Pitching coach Fred Stackson has commented that Julio is gaining consistency with his delivery, especially to right-handed batters. In January 2011, he agreed to a contract with the Pittsburgh Pirates, but he did not pitch in 2011. He returned to Bridgeport in 2012.
