Yes, it turns out Caravaggio lived in Palermo. The short version is that he was sentenced to death in Rome for murder and fled to Malta. There, despite being a wanted man, he was accepted into the Order of Malta. But even in Malta something happened (depending on the source, either a fight or another murder), and soon the Knights of Malta were hunting him as well.
He spent the last four years of his life on the run, and one of those years was in Sicily—Syracuse, Messina, and Palermo. During that time he created several of his most powerful works. One of them, The Nativity with Saint Francis and Saint Lawrence, was painted during his short stay in Palermo and hung above the altar of the Oratory of San Lorenzo. Until it was stolen. Locals still talk about it today, shaking their heads in disbelief. The FBI has included it on its list of the world’s most wanted works of art. Many art historians consider its theft to be the most notorious art crime in twentieth-century Italy.
The story goes that thieves broke into the church, cut the painting out of its frame, loaded it onto an Ape three-wheeler, and drove away. The painting measured 2.7 by 2 metres. There is even a theory that it was cut into pieces. No one knows what really happened to it, but one of the most popular versions is that the theft was carried out on behalf of the Mafia. The painting was supposedly hidden in a garage while waiting to be sold. But the sale never happened because, according to the story, rats and pigs damaged it while it was being stored in a barn.
Unfortunately, the true story of the disappearance of this Caravaggio remains unknown. Today you can see a three-dimensional replica in the Oratory of San Lorenzo, recreated from old photographs. The story itself also inspired the film Una storia senza nome.