Born in São João da Madeira, Veloso starting playing football with hometown's A.D. Sanjoanense, then moved to S.C. Beira-Mar for a further two seasons.
With Benfica, Veloso also played in the UEFA Cup final in 1982-83, as they lost to R.S.C. Anderlecht 1-2 on aggregate and, most notably, in the 1987-88 European Champions Cup final, where he missed the penalty shootout attempt that gave PSV Eindhoven the final win (5-6) [REF].