He grew up in Milan and became an army officer, where he distinguished himself so well that the Emperor Diocletian made him captain of the Praetorian Guard not suspecting that Sebastian was a Christian. In Rome, while fulfilling the duties of a courtier, he used his position to comfort and encourage his imprisoned fellow-Christians. By his labors and example he brought many to faith in Christ, including Chromatius, the Prefect in charge of persecuting the Roman Christians.

Sebastian had upheld two brothers, Mark and Marcellinus, who were awaiting execution for their faith. When the day of execution came, their father Tranquillinus, who had been a pagan but through Sebastian's example had converted, presented himself to Chromatius and announced that he too was a Christian. His testimony was so powerful that the hard heart of the Prefect was melted, and he himself resolved to become a Christian.

Caius, Bishop of Rome, gathered the new brethren (both men and women — not all of Sebastian's converts have been mentioned here) to embrace them and baptize them, but also to warn them of their coming Martyrdom. He instructed some to flee the city and others, headed by Sebastian, to remain in Rome, devoting their days to fasting, prayer and thanksgiving as they awaited their death. As the "company of Martyrs" did this, many came to them and were healed of ailments, and many joined them in confessing Christ.

When the time of martyrdom came, each member of the company was subjected to imaginatively cruel tortures before his execution. Sebastian himself was made to witness the deaths of all his companions, then to endure his own trial. He serenely confessed his unshaken faith before Diocletian himself before being taken to the place of execution. There he was tied to a post and made the target of a band of archers until his body bristled with arrows like the quills of a porcupine. He was left for dead, but when Irene, widow of St Castulus, came to bury him, she found him alive and tended his wounds. Amazingly, he recovered, and presented himself once again to the Emperor. Astonished and outraged, the tyrant ordered that Sebastian be beaten to death with clubs and thrown into the city's sewer. That evening, a pious Christian woman was told in a vision to retrieve his body and bury it in the catacombs. After St Constantine brought peace to the Church, Pope Damasus built a church over the site in the Saint's honor. For hundreds of years, many miracles were worked there through St Sebastian's intercessions.