In June 2009, Azenha was given his first managerial job at Setúbal.[2] He was sacked on 15 September, having begun the Primeira Liga season with a goalless draw against Vitória de Guimarães and followed it with three consecutive defeats to sit in last place.[3]
On 29 December 2010, Azenha returned to the top flight as manager of second-last Portimonense.[4] He offered to resign in February, having not won any of his first five games, but was kept on by the board.[5]
In June 2011, just after Portimonense's relegation, Azenha went back abroad with Sharjah FC in the United Arab Emirates.[6] He resigned less than three months later, due to his wife's illness.[7]
Azenha returned to Portimonense in February 2015, joining a club in 9th place in the second tier and six points off the promotion places.[8] He left by mutual consent at the end of March, having won two and lost five out of ten fixtures.[9]