He decided to become an engineer at an early age, against the wishes of his father Paulo, a successful bohemian writer, who advised Olavo to become a lawyer instead.

When Deca was doing well, Setúbal was asked to help salvage his uncle Alfredo's businesses, Duratex and a small bank, the Banco Federal de Crédito.

He started seeking big clients and obtained resources that allowed the bank to finance bigger operations.

In 1985, Tancredo Neves appointed Setúbal as Minister of Foreign Relations, and he took up the post during the presidency of José Sarney.

He attempted to run for Governor of São Paulo in 1986, but was defeated in an internal election of the Liberal Front Party (PFL), and gave up the idea, retiring from political life.