Setoguchi was born on 28 June 1868, in Kagoshima Prefecture, Japan, in what is now the city of Tarumizu.

In 1882, Setoguchi enlisted as a clarinetist in the military band of the Imperial Japanese Navy in Yokosuka.

During a concert tour in 1907 through 16 European countries, he enjoyed great success, and became known as the Japanese Sousa.

In 1910 he accompanied Prince Yoshihito on his journey to London for the coronation celebrations of King George V of the United Kingdom.

He died in Azabu, Tokyo on 8 November 1941 of a cerebral hemorrhage.