In a github actions workflow, is there a way to have multiple jobs reuse the same setup?

As of today (August 2021) composite action is no longer limited to run. GitHub Actions: Reduce duplication with action composition

name: "Publish to Docker"
description: "Pushes built artifacts to Docker"

inputs:
  registry_username:
    description: “Username for image registry”
    required: true
  registry_password:
    description: “Password for image registry”
    required: true

runs:
  using: "composite"
  steps:
      - uses: docker/setup-buildx-action@v1

      - uses: docker/login-action@v1
        with:
          username: ${{inputs.registry_username}}
          password: ${{inputs.registry_password}}

      - uses: docker/build-push-action@v2
        with:
          context: .
          push: true
          tags: user/app:latest

Old Answer

What you are looking for is composite action which help you reuse once defined set of steps.

jobs:
    lint:
        name: Lint
        runs-on: ubuntu-latest
        steps:
            - uses: octocat/say-hello@v1

            - run: luarocks install luacheck
            - run: ./run-linter.sh

    test:
        name: Test
        runs-on: ubuntu-latest
        steps:
            - uses: octocat/say-hello@v1

            - run: luarocks install busted
            - run: ./build-project.sh
            - run: ./run-test-suite.sh

octocat/say-hello/action.yml:

runs:
  using: "composite"
  steps: 
    - run: echo "Nice to meet you!"
      shell: pwsh

For more details you can also check’s ADR here.

And why you can’t simply run it once for all jobs, because each job may run on a different machine.

A job is a set of steps that execute on the same runner. By default, a workflow with multiple jobs will run those jobs in parallel. You can also configure a workflow to run jobs sequentially. For example, a workflow can have two sequential jobs that build and test code, where the test job is dependent on the status of the build job. If the build job fails, the test job will not run.