I think that the most critical step that Italy took towards the Second World War was with Mussolini's ascension to power. In a time period where the political ascension of the charismatic individual moved a world towards war, the rise of Mussolini put Italy on the path towards World War II. Mussolini did much to ensure that his stamp was placed on Italian politics, demanding blind loyalty from the body politic and using a cadre of followers, "Black Shirts," to enforce this. Essentially, Mussolini and Hitler formed a "mutual admiration pact," and this helped to move Italy on the path towards World War II.
Once Hitler and Mussolini aligned, Italy was on a path to war. The desire to take over Ethiopia as well as provide unconditional support to Germany in its quest to take over all of Europe helped to put Italy in the camp that did much to bring about World War II. While Germany was the center point of conflict that brought about the war, Italy's support sealed its fate as being associated with the Axis powers and whose aggressive expansion brought about World War II.