Brace expansion not working within shell script

I'm trying to use brace expansion in a shell script to create a directory structure but I am not getting the desired effect.

With the line sudo mkdir -pv /opt/test/{one,two,three}-way, issuing the command directly to the shell I get the intended result. If I have this within a script, it creates a path opt/test/{one,two,three}-way

Shell result:

jwright@ubuntu-server:/$ sudo mkdir -pv /opt/test/{one,two,three}-way
[sudo] password for jwright: 
mkdir: created directory '/opt/test'
mkdir: created directory '/opt/test/one-way'
mkdir: created directory '/opt/test/two-way'
mkdir: created directory '/opt/test/three-way'

Script result:

jwright@ubuntu-server:~$ sudo sh setup.sh
[sudo] password for jwright: 
mkdir: created directory '/opt/test1'
mkdir: created directory '/opt/test1/{one,two,three}-way'

You can see from the output that I am running the shell as sudo.

With the command sh setup.sh, you instruct the dash shell to interpret the script. The dash shell is the system wide default shell in Ubuntu, whereas the more "heavy" (and bash developpers themselves even say "bloated" bash shell is used for interactive shells (your prompt at the terminal).

dash is light and more minimal, and does not support all features of bash. That includes bracket expansion. If you want to use bash specific features in your script, then load it with bash:

bash setup.sh

If you make the script executable, then the shebang line is what you use to indicate which interpreter should run the script. This is a very first line in a script, included as a comment:

#!/bin/bash

If the script is made executable, then run by typing its name (/path/to/setup.sh or ./setup.sh if the script is in the current directory, or just setup.sh if the script is in the PATH searched by the system for executable), this directive will tell it to be run with bash.

The shebang line will not be honored if you start the script as an argument to the interpreter. Thus, even if the shebang line would be there, sh setup.sh will still be using dash rather than bash.