He began working in the Comptroller's Office in 1994, and was appointed First Deputy Comptroller by Alan Hevesi in 2003. After Hevesi's resignation, he was Acting New York State Comptroller from December 22, 2006, to February 7, 2007. 
As Acting Comptroller, he refused to pay a bill submitted to the Comptroller's office by former Governor George Pataki in his final days in office. The bill was to pay for a private jet Pataki used to fly to Virginia to inspect steel for construction at Ground Zero. Sanzillo said that Pataki could have flown a state aircraft to Virginia for the trip. The bill was sent back to the Governor's Office and Gov. Eliot Spitzer decided to remit the bill to Pataki to have his campaign committee pay it.
He served as Acting Comptroller until Thomas DiNapoli was elected Comptroller by the New York State Legislature. DiNapoli reappointed Sanzillo First Deputy Comptroller on March 7, 2007. On July 26, 2007, Sanzillo resigned as First Deputy Comptroller.  He is now a financial advisor with T. R. Rose and Associates in New York City.