Dicko was born in the suburbs of Paris, where he grew up in with his family, who originate from Mali. Dicko began playing football at the age of just six with local club Jeanne d'Arc de Maisons-Alfort. At the age of 13, he was signed by Créteil-Lusitanos, staying at the club for three seasons, before moving to Strasbourg in the spring of 2007.

Dicko's progress was hindered by a number of injuries and his first-team debut came in September 2010. In 2011, Strasbourg released Dicko due to financial difficulties, and he was offered a trial with Premier League side Wigan Athletic, signing with the club a few weeks later. He made his senior debut for Wigan in September 2011, in a League Cup match.

On 27 January 2012, he joined Blackpool on loan until the end of the season. He went on to score four goals in 11 league appearances. But having signed up with Blackpool on a season-long loan, he was recalled from his loan by Wigan in January 2013.

On 28 March 2013, Dicko moved on loan again, entering his first spell with English championship club Wolverhampton Wanderers. He made only four substitute appearances, scoring once, as the club unsuccessfully fought to avoid relegation.

Dicko began the 2013–14 season by appearing as a substitute in Wigan's Community Shield defeat to league champions Manchester United. However, new Wigan manager Owen Coyle did not select him for any league games and Dicko's only playing time for the club came in the Europa League and League Cup.

In November 2013, he was loaned out to League One club Rotherham United until January 2014 but was then recall by Wigan in December.

On 13 January 2014, Dicko moved to Wolverhampton Wanderers, for a reported fee of £300,000, signing a two-and-a-half year contract. He ended the 2013–14 season as the club's top scorer, as they won promotion as champions.

Back at Championship level, Dicko was the club's joint top goalscorer in the following season, as the club missed out on the play-offs due to goal difference. However, in September 2015, Dicko suffered a knee ligament damage during a match against Charlton, which ultimately forced him to miss the remainder of the season.

After further delays to his comeback, Dicko returned to first-team football in October 2016, over 13 months since his last appearance and signed a new contract, which was due to keep him at Wolves until the summer of 2020. He made 32 appearances during the campaign, but scored just three times. At the start of the following season, Dicko was largely only used as a substitute by new coach Nuno Espírito Santo, but still scored twice in seven appearances; his final goal for the club came against the team he was about to join.

On 29 August 2017, Dicko joined Hull City for an undisclosed fee in a three-year deal.