Baup signed on as the manager of Saint-Étienne in 2004, bringing to the club one of his favourite players, Pascal Feindouno. Saint-Étienne had won promotion to Ligue 1 at the end of the 2003-2004 season. During Baup's tenure, the club finished sixth and thirteenth in the table respectively in the 2004-05 Ligue 1 and 2005-06 Ligue 1 seasons. He resigned from the club at the end of the 2005-2006 season.
In his first season as the manager of the club, Baup guided Toulouse to finish third in the table in the 2006-07 Ligue 1 season. Toulouse thus earned a place in the 2007–08 UEFA Champions League third qualifying round, where it lost to Liverpool 5–0 on aggregate. With Toulouse finishing only 17th in the table in the 2007–08 Ligue 1 season and barely escaping relegation to Ligue 2, Baup was sacked on 30 May 2008, with one year left on his contract.