As Zorro, Diego demonstrates exceptional swordsmanship, agility, and strategic cunning, leaving his distinctive "Z" mark carved with his rapier. He operates from a base linked to his family’s hacienda via secret passages and rides a white horse named Viento. His calm, reasonable, and deeply held sense of justice, inherited from his father, contrasts with the impulsive natures of Lolita and Bernard. Eventually, Bernard deduces Diego’s secret and occasionally adopts his own identity as "Little Zorro," assisting in information gathering and combat. Lolita develops romantic feelings for Zorro while remaining critical of Diego’s perceived weaknesses, unaware they are the same person.

Diego shares mutual respect with his father, though Don Alejandro is initially unaware of his son’s double life. A childhood rescue established Diego’s strong bond with Bernard, who views him as an older brother figure. Animal companions include Diego’s lazy hunting dog Tackle and Bernard’s bulldog Figaro, playing minor roles in adventures. Diego’s conflicts focus on thwarting Captain Raymond and Lieutenant Gabriel’s schemes to enrich themselves through fear. His tactics involve publicly humiliating corrupt officials, rescuing unjustly imprisoned individuals, and confronting the army directly. Throughout the series, he maintains his dual identity, balancing noble responsibilities with clandestine activities as the people’s defender.