Respectful of his father's wishes that the family name not be associated with acting, he chose his maternal grandmother's maiden name Palazzeschi as a pseudonym.

His family's comfortable circumstances enabled him to publish his first book of poetry, I cavalli bianchi (The White Horses) in 1905 using his acting pseudonym.

However, he was never entirely ideologically aligned with the movement and had a falling out with the group over Italy's involvement in World War I which he opposed, even though he did spend a brief period at the front lines after having been inducted into the military in 1916.

His "futurist period" (roughly the 1910s) was a very fecund time in which he published a series of works that cemented his reputation.

Most notable of these is his novel Il codice di Perelà (translated into English as Man of Smoke) published in 1911.