Peseiro signed with Sporting CP for 2004–05. After collecting three losses and two draws in his first nine games in charge, the side eventually finished in third place with 61 points, four behind champions S.L. Benfica; additionally, he coached the team to a runner-up run in the UEFA Cup after disposing of the likes of Feyenoord, Middlesbrough and Newcastle United. The final was played at the "Estádio José Alvalade", and after a 1–0 lead at half-time the hosts eventually succumbed to PFC CSKA Moscow 3–1.