Julio (pronounced Hoolio) is one of two gay men Homer moves in with. The other, Grady, was his boyfriend at the time. Prior to coming out, Julio was married to two women, Adriatica Vel Johnson and Lindsey Naegle. Julio was stated to be from Costa Rica in "Eternal Moonshine of the Simpson Mind", though this is contradicted in "The Burns Cage" which states that he is from Cuba. One of his boyfriends was Waylon Smithers.
The Simpsons finish a puzzle and have to find the last piece and Homer thinks that the piece is in the memory chest; however, he finds a note saying that Marge wanted to dump him before he got married. This then upsets Homer and he finds an apartment in Springfield's gay district. He then meets his two roommates Grady and Julio who are two gay men who needed a third man in their apartment. Homer eventually finds out Marge really loves him after all and moves back into his house again, leaving Grady and Julio behind.
His boyfriend Grady had an affair with Duffman, who is bisexual, and hired Homer to break up with Julio. Julio has also dated Comic Book Gay (asking him out in "Flaming Moe") and Waylon Smithers in "The Burns Cage".
Julio has worked several jobs over the course of the series. He is first seen working as a calendar photographer, taking photos of women with sensual clothes. He once had to make Marge drunk with wine so she undresses herself for the photo. He makes two appearances as a hairdresser, once informing Marge that she's been going gray for years , and another time to take on Homer's clientele when Homer no longer wants to work as a hairdresser.  Later, he is seen working at a clothing store called 'Forever 21 Waist'. 
It is also implied he used to be married to Lindsey Naegle.
Non-CanonJulio played the part of an angry king named King Julio who tries to destroy England with an army of ships, but fails.
Behind the Laughter
Julio's name may be a reference to the song "Me and Julio Down by the Schoolyard", which is perhaps about homosexuality.
In Spanish, his name translates to the month of July.