Despite showing fine early form in his first few matches for Middlesbrough, the remainder of his spell at the club was a struggle to justify his price tag and during the 2004-05 season he was loaned out to Serie A club Parma, moving (yet on loan) on January 2005 to Siena.
Maccarone returned to Middlesbrough for the 2005-06 season, and despite not being a regular first-team player, endeared himself to the Middlesbrough fans, especially through his work-rate and attitude. The player's spell at Middlesbrough is remembered for two last minute winners in key UEFA Cup ties in 2006. He scored against FC Basel in the second leg of the quarterfinals, a tie in which Middlesbrough overturned a three goal deficit to win 4-3 on aggregate. In the semi-final of the same competition he came on as a substitute and scored twice in the aggregate 4-3 win over Steaua Bucharest, once again in the 90th minute, taking Boro to the final in Eindhoven.
Despite these heroics, he made few appearances for Middlesbrough in the following season and in January 2007 Maccarone moved to Siena on a free transfer, with an original contract running until 2010. In February 2007 he made headlines by criticizing former Boro and then England manager Steve McClaren for his 'ineptitude', causing Boro chairman Steve Gibson to call him 'a fool'.
On February 11, 2007 he played his first Serie A match after his Siena return against Cagliari Calcio. Maccarone scored a brace in the 4-3 defeat by AC Milan on February 17, to register his first goals for Siena. He finished the season with 6 goals, and added 13 in the following (club best by a long margin), as Siena achieved two consecutive 13th league places.