After being appointed by Athletic at the start of this season, he got to know his team by watching every match they had played the previous term, twice over, in their entirety.
Known affectionately as the Madman, the Argentine has masterminded Athletic's extraordinary Europa League campaign which included away wins at Manchester United and Schalke on their way to their first European final since 1977.
On both occasions, Athletic shunned any suggestion they were underdogs as they took their high-tempo passing game to their opponents, often pressuring them deep in their own half.
It was a bold tactic and one that has become a trademark of Bielsa during his previous stints as coach of his native Argentina and then neighbouring Chile.
"It's an incredibly honest style of play," said Barcelona coach Pep Guardiola, who himself has been inspired by Bielsa.
"It doesn't matter if they are winning, losing, three goals ahead, or three goals behind. Bilbao's matches are a present for the fans."
With the exception of their very first game against Trabzonspor, Athletic have scored in all of their 15 Europa League matches this campaign and conceded goals in all but three.
Perhaps even more impressive has been the way Bielsa has transformed Athletic's style of play.
Traditionally seen as the most "English" of Spanish sides, Athletic have always been associated by a physical, long-ball style of play, yet Bielsa has transformed them into one of the best passing teams in La Liga.
Bielsa made a similar impression during his three years as coach of Chile, taking them to the last 16 of the World Cup and ending their 50-year wait to win a match at the finals in the process.
As with Athletic, it was achieved with a squad devoid of big-name players, Bielsa instead preferring youngsters he believed had the potential to carry out his ambitious style of play.
Bielsa's personality, variously described as eccentric and introverted, also stands him out amongst his peers.
The odd one out in a family of lawyers, Bielsa, whose brother Rafael is a former Argentina foreign minister, never criticises referees and spends much of the match either pacing up and down in his technical area or hunched on his knees.
One journalist noted that he took 13 steps in each direction and asked him if it was just a coincidence.
"What is a coincidence is that somebody can take the trouble to count my steps when there is such a great game going on," he replied.
His players report a man obsessed with the game.
"He doesn't think about anything other than football, he doesn't rest," said Athletic striker Fernando Llorente.
Midfielder Iker Muniain said: "Today, we are going to watch 600 videos and listen to 32 lectures."
Muniain might have been joking but Bielsa is known to have thousands of videos at his home in Rosario, Argentina, and rarely allows himself time off from his work.
"I remember the day of my wedding," said Martin Posse, who played under Bielsa at Velez Sarsfield in Argentina. "The ceremony took place a few hours after we had played a match against Boca Juniors.
"Marcelo Bielsa turned up at the ceremony with a video of the match we had just played under his arm."
Unlike many coaches, who flit from job to job, Bielsa is selective about which offers he will accept.
He accepted his role with Chile only after meticulously studying training facilities, gauging whether the players could fit in with his vision of the game and making sure he would be given the independence to perform his role.
He chose Bilbao because he liked the idea of working at a club with a strong local identity which depend on raising their own players.
In his dealings with the media, Bielsa refuses exclusive interviews, arguing that the smallest provincial radio station has the same importance to him as a national television station and he could not attend every one.
He often intrigues and perplexes his audience with verbose answers to questions.
"We did not deserve to lose" sometimes comes out as: "Presupposing that I do not want to detract from the merits of our rivals, I think that the final result obtained at the end of the game was contradictory to the respective performances of the teams involved."
Asked earlier this season how he thought his team was progressing, Bielsa replied:
"When one divides the year up into segments and draws conclusions by virtue of the segment which has just been completed, one cannot avoid thinking that the season has cycles and what today appears to be a period of consolidation can still turn into moments of instability.
"For this reason, which all of us who involved in football know about, I would indicate that this evaluation has to be made with the totality of facts at my disposal, and that only happens when the total number matches has been completed."
In other words, it was too early to tell.