Nazi deportees speak to Di Canio
"I've listened to the stories but I still have my ideas," the former West Ham and Charlton forward said later.
The meeting was set up by Rome Mayor Walter Veltroni, who previously brought AS Roma players face-to-face with Holocaust survivors at Rome city hall.
Fans have paraded swastikas and other Nazi symbols at some Italian matches.
The BBC's Christian Fraser, in Rome, says Di Canio has become the darling of the neo-fascist right.
On three occasions he has given a right-arm salute to the Lazio fans - which earned him a fine and a suspension from the Italian Football Association.
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