 Born in São Sebastião da Pedreira, Costa started playing futsal at UP da Venda Nova, progressing to GCD Del Negro in the year before joining Sporting youth ranks, in 1994.In 1995–96, at age 18, he started playing in the first team, staying there for six seasons, winning two league titles and arriving at the national team.He then had a one-year stint at Freixieiro, helping the club conquer their only league title, before joining Benfica in July 2002.