Di Natale scored 29 goals for Udinese this season and had been expected to lead the line for the holders.
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However, the strikers given the all-important pink bibs in Sunday's light session were Vincenzo Iaquinta, who missed much of the season through injury, and Alberto Gilardino.
But Gianpaolo Pazzini also had a spell in the "first 11" just to sow some confusion.
Midfielder Simone Pepe also looks like getting a start while Salvatore Bocchetti was the man filling the troublesome left back berth despite barely playing in the position in his career.
Coach Marcello Lippi could be laying a false trail but though he said later that he had still not told his players, he hinted that his choices were clear for all to see.
"If you don't understand the lineup you should change jobs, you have no excuse, you know exactly what it is," he said.
LIGHT JOB
Andrea Pirlo, who will miss the match with a calf injury, restricted himself to a light jog round the pitch.
"I'll be happy if he's ready for the third match (Slovakia on June 24) though he thinks he might be ready for the second (New Zealand, June 20)," Lippi said.
The coach dismissed suggestions that he was unsure of his team and tactics and said that warm-up game results - a draw with Switzerland and defeat by Mexico - were irrelevant.
"I was not being unclear with the changes I made, I wanted to involve all the players in the practices and I'm really happy that everyone is ready and has bought into the project, whichever system we use," he said.
"One of the things I learned from the last World Cup is that everything that comes before counts for nothing. The state of mind, the attitude of opponents, the tension, it's all different, everything changes."
Lippi, who led Italy to glory four years ago, stepped down then returned two years later, said he expected a tough test from Paraguay but that his team's campaign would not stand or fall by what happens on Monday.
"The first match is important but it's not decisive," he said. "In 1994 Italy reached the final after losing the first match and we won it in 1982 after drawing.
"It is important as everyone considers Paraguay to be the most difficult opponent but we had two wins and a draw last time and it wouldn't be terrible if we did the same.
"We didn't have the feeling we were a great team four years ago, it happened after three or four matches and a team becomes a great team during the tournament," he said.
"Four years ago I didn't say 'I'll give you
