Through testing I found that setUp threads work exactly the same as the rest of the test plan. If you uncheck Run Thread Groups consecutively at the Test Plan level, then all same-level threads will run at the same time.

So, the order that the threads execute will be:

1. First all setUp thread groups run at the same time, as many as you have.

2. Then all regular thread groups run at the same time.

3. Then all tearDown thread groups run at the same time.