Source for this info: https://genius.com/Dio-holy-diver-lyrics

Dio sums up the narrative of the song in an interview with Sam Dunn in the 2005 film Metal: A Headbanger’s Journey:

The song ‘Holy Diver’ is really about a Christ-figure, who on another place, not Earth, has done exactly the same as we’ve apparently experienced or were supposed to have experienced on Earth: dying for the sins of man so that man can start again and be cleansed and do it properly. So, the same thing happened on this other far-distant planet, and all the people on this planet are calling him the Holy Diver because he’s about to go to another world to do what he did to the first: absolve them from their sins by having himself killed. And the people are saying to him, ‘Don’t go,’ with innuendos of tigers and stripes and hearts and being eaten. It was meant to show just how selfish humanity is, that this one form of humanity on this one world said, ‘No, don’t go down there and save anybody else. Stay here, we need you, you are ours.

When played on the radio, many stations cut the extended instrumental intro. Following the terrorist attacks on September 11, 2001, the song was placed on the list of post-9/11 inappropriate titles distributed by Clear Channel.

The music video for “Holy Diver,” directed and edited by Arthur Ellis, features Dio as a hairy barbarian adventuring through a desolate church.

Here's the music video: https://www.youtube.com/watch?v=2lvs2FzF64o