I am researching the history between Italy and Spain, primarily during their fascists years. One of my friends told me they had a family member named Arturo Maggi who was an ambassador to Spain under Mussolini. Not sure if this is true, but thought I’d dig a bit to see what I could find. Would anyone know some good references for me to look into related to Italian ambassadors? Thank you very much!
I'm afraid your friend may be mistaken.
The Italian Foreign Office website for the Italian Embassy in Madrid has a list of the ambassadors and that name doesn't appear in the list. It is entirely possible that he was part of the diplomatic mission but he was not the head of mission.
I don't know if you read Italian or Spanish but the full list of ambassadors dating from 1856 (curiously, before the birth of Italy proper) onwards is available at this link:
Unfortunately the website doesn't give a history of diplomatic relations but may provide a starting point.