Born in Nazaré, Leiria District, Esgaio joined Sporting CP's youth system at the age of 12, having signed from local Grupo Desportivo os Nazarenos.

On 14 December 2011 he was called for a UEFA Europa League group stage game away against SS Lazio, alongside youth graduates Betinho, Tiago Ilori, João Carlos and João Mário, as the Lions had already secured the first place in their group; he remained an unused substitute in the 2–0 loss.

[3] He scored his first goal with the side the following matchday, the only in the home fixture against Vitória S.C. B;[4] in his early career, he was mainly deployed as a right winger.

[9] On 27 January 2015, both Esgaio and Sporting teammate Salim Cissé were loaned to fellow top-tier club Académica de Coimbra until the end of the season.

[10] On 17 June 2017, after only 44 competitive matches for Sporting in five years,[11] Esgaio signed a five-year contract with S.C. Braga as Rodrigo Battaglia moved in the opposite direction.

[13] Esgaio played seven games in the side's victorious run in the Taça de Portugal, including the full 90 minutes in the final against S.L.