While Setebos is barely if at all given any description in the play, it's clear that Shakespeare got the name from the Patagonian deity, who was feared by the natives. The demon is in the historic texts described as towering, and it is detailed that it physically manifests at the death of a tribesman, to rejoice in sickening glee. Later texts, sticking a more Lovecraftian nature onto the fiend, report it to be, "many-handed as cuttle-fish".
Since Caliban is repeatedly implied to be a son of both Sycorax and "the devil", and Sycorax worships this daemon all the while proving her magic is more than real, it can be theorized that Caliban is the spawn of this very godhead.
Setebos is mentioned but twice in the entire play. First, when Caliban acknowledges Prospero is so powerful he could make a "vassal" out of the being. This insinuates that Setebos's strength is limited, and indeed surpassed by the benevolent wizard.
Near the end of the play, when Caliban bemoans that he is to be punished by his master for his treachery, he cries out, "O Setebos!".