In The Picture of Dorian Gray innocence is treated as an accidental state of mind. It is a primitive sense of being that is inherent to the less sophisticated, and more ignorant species. As Lord Henry says of love and innocence
the people who love only once in their lives are really the shallow people. What they call their loyalty, and their fidelity, I call either the lethargy of custom or their lack of imagination. Faithfulness is to the emotional life what consistency is to the life of the intellect--simply a confession of failure.
Innocence is most evident in the character of Sybil Vane. Although it is not clear to what point Dorian has come to "know" Sybil, we assume as readers that she is so oblivious to life that she has even lost any common sense when it comes to Dorian. Consumed by her acting, Sybil is perhaps the one character whose own soul is usurped by Dorian's lack thereof. In the end, her suicide just goes to show how Dorian's destructive nature devoids people of their humanity.
The "girl from the country" with whom Dorian falls in love after Sybil's suicide, Hetty Merton, represents the bucolic aspect of love; she is the simple country girl who charmed Dorian for her innocence of believing that he was poor and by disbelieving that he was wicked. In hopes of restoring some of his soul, Dorian chose not to corrupt her and ruin her life. By sparing her, Dorian felt that he was doing some good. However, shortly after he realizes that he has gone too far in his proclivities and there is no turning back: his soul is far gone.
Dorian himself was once innocent. He comes form a bloodline of death, sadness, and desolation that ended up with his having to be raised by a loveless uncle who presumably abused him. It is arguable that Dorian was at a vulnerable position growing up. His social status provided for the void of love in his life. When he meets Basil and Henry, the latter takes away whatever is left of Dorian and corrupts it.