Fluent in both Spanish and English, Sanchez is an expert on Latino gangs. He has a quick temper and often yells at suspects in the interrogation room. He also can be crude and chauvinistic. Though constantly flirting with the younger women detectives, Sanchez wears a wedding band. It seems at first that he is married, but in Brenda and Fritz's wedding video (episode 4.15 "Double Blind"), he reveals that he has been a widower for six years.
In season four (episode 4.7 "Sudden Death"), Julio Sanchez's brother is shot to death by a gang member on the sidewalk near his home because he was believed to be part of a rival gang. Once the case is closed, Julio confesses to Provenza that he had given his brother the hat that the killers mistook for a symbol of a rival gang affiliation, which led to Sanchez's brother's death. Later in the season, Sanchez is shot three times by bullets intended for Provenza (episode 4.10 "Time Bomb"). It is later revealed that Sanchez survived after five surgeries and shoulder reconstruction and is back on the force via Chief Johnson's recommendation (episode 4.11 "Good Faith"). He was shot again in "Two Options" (Major Crimes, season 3, episode 7).
In "Internal Affairs" (Major Crimes, season 3, episode 17), Sanchez is ordered to attend anger management classes after beating up his mother's caretaker who had robbed her in order to remain on active duty.