Air carrier pilot reported receiving an EGPWS alert during visual approach.

Narrative

On downwind at 3000 ft. we were cleared for the visual approach to XX. In our brief we discussed terrain considerations and planned to turn toward the runway just outside of ZZZZZ if given the visual approach. We knew there was an 1800 ft. obstacle southeast of the approach but didn't believe it would present n issue since we planned to turn inside of it and would be above. When cleared for the visual approach; I set 2200 ft. for ZZZZZ and the First Officer (FO) began a level change descent as he slowed to 180 kts. Flaps 5 and began his turn to base. We both had terrain up on the Primary Flight Display (PFD) and saw the yellow of the obstacle but believed we would pass inside and above (which we did). What I wasn't prepared for was the caution; obstacle" call from the EGPWS and it surprised me. We both had visual on the Tower and believed ourselves above and cleared laterally. But the fact that we got that call means we were obviously too close to maintain safe margins. In retrospect; I would have waited to accept the visual approach clearance or; if I did call the field in sight; would have delayed setting the Mode Control Panel (MCP) to FAF altitude until completion or the turn to base."