Born in Torre Annunziata, in the province of Naples, Immobile began his youth career in the football school "Torre Annunziata '88", before transferring to "Maria Rosa" and finally the youth team of Salernitana, where, however, he failed to emerge.
He later joined Sorrento, with whom he scored 30 goals in the under-17 during the 2007–08 season, including a brace against Torino, impressing the observers of Juventus.
In 2008, he was signed at the age of 18 for €80,000 by Juventus under the recommendation of Ciro Ferrara. He went on to play with the Primavera formation.
On 14 March 2009, Immobile made his Serie A debut in a 4–1 home win against Bologna, replacing Juventus' captain Alessandro Del Piero in the 89th minute.
On 25 November 2009, Immobile also made his debut in European competition, once again as a second-half substitute for Del Piero in a Champions League game against Bordeaux.
In February 2010, he scored a hat-trick against Empoli in the 2010 Torneo di Viareggio final to seal the title for a second consecutive season.
On 1 July 2010, Immobile, along with teammate Luca Marrone, was sent on loan to recently relegated Serie B side A.C. Siena. In exchange for the two loans, Juventus acquired Niccolò Giannetti, Leonardo Spinazzola, and Austrian midfielder Marcel Büchel on loan from the Tuscan club.
Immobile never broke into the first team, however, and in January 2011, he left Siena, after just 4 appearances and 1 goal. Following his departure from Siena, he was immediately loaned by Juventus to Grosseto, another Serie B club for the remainder of the 2010–11 Serie B season.
On 17 August 2011, it was announced that Immobile would join Serie B club Pescara on a season-long loan from Juventus.
He scored his first goal for the club on 26 August during his debut for Pescara in the first league match against Hellas Verona.
By the end of the 2011–12 Serie B andata (first half of the season), Immobile had already scored 14 league goals. On 30 January 2012, Genoa confirmed that they had paid €4 million for half of the player's rights from Juventus, following his mercurial form in Serie B. He completed his season with Pescara in the Italian second division, as the club won the league title and sealed promotion to the Serie A. He also went on to become the Serie B season's top scorer with a total of 28 goals, seven more than the second-highest scorer, Juve Stabia's Marco Sau.
Immobile was also named the Serie B's Player of the Year at the 2012 AIC Gran Gala del Calcio, alongside teammates Lorenzo Insigne and Marco Verratti.
On 12 July 2013 Juventus bought Genoa's half of Immobile for €2.75 million. On the same day, he was sold to city-rivals Torino under a new co-ownership deal for €2.75 million. He made his debut for Torino during the first round of the Coppa Italia against former club Pescara, scoring his first goal of the season. He provided an assist in his Serie A debut for the club but did not score until 7 October in a 2–2 draw against Sampdoria. Previously, Immobile had failed to score in Serie A since December 2012. The goal signaled a run of form for Immobile, with the player scoring a further 12 goals in his next 15 matches, including his first brace in Serie A during a game against Chievo Verona in December.
On 2 March 2014, he received his first call-up to the senior national team by Cesare Prandelli, for a friendly match against Spain three days later. He made his debut as a substitute for Alessio Cerci after 69 minutes as Spain eventually won 1–0.
On 22 March 2014, Immobile scored his first Serie A hat-trick, in a 3–1 win against Livorno. Three days later, he scored a spectacular volley with his left foot against Roma, temporarily bringing the Granata level at the Stadio Olimpico. On 6 April, he scored the winning goal against Catania in a 2–1 victory.
On 11 May, Immobile scored in the penultimate fixture of the season against Parma, but was sent off in the second half and suspended for the final match against Fiorentina. He concluded his season with 22 goals in 33 appearances, plus one goal in the Coppa Italia. He became the first Torino player to win the Capocannoniere since Francesco Graziani in the 1976–77 season.
On 13 May 2014, Immobile was named in Italy's provisional 30-man squad for the 2014 FIFA World Cup, and on 1 June he was named in the final 23-man squad.
On 2 June 2014 Bundesliga club Borussia Dortmund announced the signing of Immobile. despite the co-ownership agreement between Torino and Juventus not being resolved. Urbano Cairo, the president of Torino, accused Juventus and Dortmund of violating FIFA regulation regarding transfer on 10 May 2014, which FIGC also states that such transfers must have mutual consent of the co-owners. Cairo also wanted to keep Immobile for at least a season for sports and for profit. On 18 June 2014, Juventus sold the remaining 50% registration rights of Immobile to Torino for €8.035 million. Torino later revealed in its financial filing, that the transfer fee to the German side was €17.955 million.
On 8 June, he scored a hat-trick in Italy's final World Cup warm-up match, a 5–3 unofficial win over Brazilian club side Fluminense.
his competitive debut in Italy's opening 2–1 win over England in Manaus on 14 June, playing the last 17 minutes in place of Mario Balotelli who scored the Italian winner.
On 13 August 2014, Immobile made his official debut for Dortmund as a striker in the starting line up for the 2014 DFL-Supercup against Bayern Munich. The match ended in Borussia lifting the cup by a score of 2–0.
Immobile made his Bundesliga debut on 23 August in the opening match of Dortmund's 2014–15 Bundesliga campaign which saw them lose 2–0 to Bayer Leverkusen at home.
He scored his first official international goal in the third minute of a 2–0 friendly victory against the Netherlands on 4 September 2014.
On 16 September 2014, Immobile scored his first goal for the club, opening a 2–0 home win over Arsenal in the group stages of the Champions League. He scored four goals in six Champions League matches, in a 3–0 away win over Anderlecht, in a 4–1 home win over Galatasaray and in a 1–1 home draw vs Anderlecht, with Borussia qualifying as first from the group. On 17 December 2014, Immobile assisted the first goal and scored the second on a 2–2 home draw with Wolfsburg.
On 12 July 2015, Immobile joined Sevilla on a season-long loan after scoring just three goals in the league in his first season at Borussia Dortmund (a total of 10 goals in 34 matches). Sevilla also had an option to sign him outright
He made his debut for the club on 11 August 2015, coming off the bench to replace Kevin Gameiro in the 80th minute of the 2015 UEFA Super Cup final, against Barcelona, and assisting Yevhen Konoplyanka's temporary equalizer to send the match into extra-time; Barcelona went on to win the match 5–4.
On 8 November 2015, Immobile scored his first goal for Sevilla in the 36th minute as they emerged victorious in a 3–2 La Liga home win over Real Madrid. In November, the obligation to buy clause was exercised when Immobile made his fifth appearance, buying him outright for €11 million plus the €3 million for the loan spell.
On 14 January 2016, Immobile returned to Torino on loan until the end of 2015–16 season. Two days later on his return debut, he scored the opening goal of a 4–2 home victory over Frosinone. On 14 February, he scored a brace, in a 3–1 win away against Palermo. On 22 March, it was determined he sustained a muscular injury at the half time mark in a derby with Juventus two days prior, and would be sidelined for a month.
On 27 July 2016, Immobile signed with Lazio for a fee of €8.75 million (plus €700,000 commission to agents).
On 21 August, Immobile scored on his debut in Lazio's opening match of a 4–3 away win over Atalanta. Immobile finished the season with 23 league goals in 36 appearances plus 3 goals in the Coppa Italia, surpassing his total when he won the Capocannoniere with Torino in the 2013–14 season, though this time he did not win the Capocannoniere, losing it to Bosnian striker Edin Dzeko of cross-town rivals Roma, who scored 29 league goals.
On 13 August 2017, Immobile scored the opening two goals of the Supercoppa Italiana; Lazio won with a final score of 3–2 over Juventus.
On 21 October, Immobile extended with Lazio until 2022.
On 6 January 2018, Immobile scored four goals in the first half away to SPAL, the first Lazio player to score multiple hat-tricks in a season in 16 years; Lazio eventually won the match 5–2.
On 22 February 2018, Immobile scored a hat-trick in the Europa League round of 32 second leg home to Steaua București in a 5–1 win, which allowed Lazio to qualify, 5–2 on aggregate, to the round of 16.
On 31 March 2018, Immobile scored twice in Lazio's 6–2 home win over Benevento, his 36th goal of the season, breaking Giorgio Chinaglia's previous record for most goals scored by a Lazio player in a single season, by two goals.
Immobile ended the season with 29 goals in 33 appearances, winning the Capocannoniere jointly with Inter's Mauro Icardi.
On 3 November 2019, he scored his 100th goal for Lazio in a 2–1 away win over Milan.