The orbital diameter of a primitive permutation group is the maximal diameter of its orbital graphs. There has been a lot of interest in bounds for the orbital diameter. In this paper we provide explicit bounds on the diameters of groups of simple diagonal type. As a consequence we obtain a classification of simple diagonal groups with orbital diameter less than or equal to 4. As part of this, we classify all finite simple groups with covering number at most 3. We also prove some general bounds on the covering number of groups of Lie type.