Baía made his first-team debut in a game against Vítoria de Guimarães, and did not lose his starting place for the following seven seasons, winning five leagues and two domestic cups and conceding only 116 goals (16,5 goals per year). It was between 1994 and 1996 that he made his name as a world-class goalkeeper, being voted for the "ESM Team of the Year" after the 1994–95 season and being named in the "IFFHS' World's Best Goalkeeper of the Year 1995" list, finishing sixth in the voting and improving to fifth in the following year; consequently he was named in the Portugal squad for Euro 1996, being transferred after this tournament to Spain's FC Barcelona for the highest amount paid for a player in the position in the world.