He became the captain of Lazio for the first half of the 2006–2007 season following the departure of Fabio Liverani to Fiorentina.
He guided the team for four consecutive years, winning a UEFA Intertoto Cup, showing valid coaching abilities and launching several players, including 2006 FIFA World Cup winner Marco Materazzi (who reached a career high of 12 goals in a single season under Cosmi's tenure), then-unknown Japanese Hidetoshi Nakata, Fabrizio Miccoli, Fabio Grosso and Fabio Liverani.
Fabio Luisi | Fabio Capello | Fabio | Fabio Lanzoni | Fabio Cannavaro | Fabio Ochoa Restrepo | Fabio Leimer | Fabio Reinhart | Fabio Perini S.p.A. | Fabio Perini | Fabio Ochoa Vásquez | Fabio Mussi | Fabio Liverani | Fabio Grosso | Fabio Grossi | Fabio Gava | Manlio Fabio Beltrones | Fabio Vittorini | Fabio Vacchi | Fabio Testi | Fabio Taglioni | Fabio Padovan | Fabio Ongaro | Fabio Novembre | Fabio Moli | Fábio Luciano | Fabio Lione | Fabio Felline | Fabio Fazio | Fábio Eduardo Cribari |