The 32-year-old Leo has won all eight of his fights to date including three by first-round stoppage, and presents stronger than usual opposition for a debut.
In addition, Joshua will jump straight in at the six-round distance, at which Leo has already fought four times.
Leo's last two fights both took place in Italy against Hungarian journeyman Sandor Balogh, and both were won on points.
Joshua, who has not fought since winning the Olympic super-heavyweight gold medal last summer, will share top billing with Scott Quigg's WBA super-bantamweight title fight against Yoandris Salinas.
Fellow Olympian Luke Campbell is also on the bill, while Welshman Lee Selby will put his British and Commonwealth featherweight titles on the line against Ryan Walsh.