TL;DR
Yes. An employee can set up and run a company alongside their job, on two conditions: respecting their duty of loyalty (no activity that competes with the employer's) and not being bound by an applicable exclusivity clause. Check your employment contract and collective agreement before setting up. 
Service-public
What to check
| Point | Where |
|---|---|
| Exclusivity clause | Employment contract, collective agreement |
| Non-compete clause (after leaving) | Employment contract |
| Activity competing with the employer | Your company's purpose and your clients |
| Working hours | The combined total must not exceed the maximum working hours if you are also an employee of your company |
Recommended structure
A SASU whose president is unpaid at the start avoids paying contributions twice; see company without a salary.
Written by Razvan Toma, founder of LegalRapide. How we check our figures · LinkedIn