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In my home country (Norway), I've met plenty of startup founders that come from MBB consulting. Actually a pretty "normal" path here, compared to jumping straight into entrepreneurship out of college. But that also has something to do with how risk-averse investors here are, compared to the US (no one here is going to give inexperienced college kids a bunch of money, unless they've proven themselves to be bona fide serious people) - and the fact that consultants actively get to see market needs in real time, and in positions where other external people might not.