Former Real Betis coach Setien, 61, was named Barca boss on Monday following Ernesto Valverde’s sacking.
Setien, who has signed a two-and-a-half year deal, led Betis to their highest finish since 2005 and to the Copa del Rey semis before leaving in May.
“I want to thank this institution for giving me the chance,” said the Spaniard at his first news conference.
“Not even in my wildest dreams could I have imagined this. I have to thank the club. I’m excited about this challenge and this project.”
He added: “Yesterday, I was walking around my home town with cows around me and now I’m here at Barcelona managing the best players in the world.”
After managing lower-league sides, Setien led Las Palmas to 11th in La Liga – their best finish for 40 years – and enjoyed further success at Betis, where in his first season he led them to sixth place and qualification for the Europa League.
Betis also secured wins over Barca, Real Madrid and Atletico Madrid during his two-year tenure, and he left the club by mutual consent in the summer.
Barcelona are top of La Liga on goal difference and have won four of the last five league titles.
“I thank Ernesto Valverde for leaving me with a side that is top of the league,” he said.
“My objective is to win everything! Everything you can win, this club has no other path to follow.
“Year after year, to win as many trophies as possible. I think the best way to victory is by playing good football. It doesn’t always happen but it’s not just about one day, it’s about keeping it going.”
Setien has previously stated he would cry when Barca and Argentina forward Lionel Messi retires.
“I said that about a lot of players,” he said. “I have enjoyed watching Barcelona for several years, watching them on television.
“To be able to manage the best in the world, and his team-mates – he has great team-mates – I have spoken to him and others.
“I have always said that the admiration is one thing but reality is different. Everyone needs to have their place. Messi is Messi, Busquets is Busquets.”