diff --git a/doc/source/whatsnew/v0.24.0.txt b/doc/source/whatsnew/v0.24.0.txt
index f180443a508b13..1091df54d75ccd 100644
--- a/doc/source/whatsnew/v0.24.0.txt
+++ b/doc/source/whatsnew/v0.24.0.txt
@@ -546,6 +546,7 @@ Other API Changes
 - :class:`pandas.io.formats.style.Styler` supports a ``number-format`` property when using :meth:`~pandas.io.formats.style.Styler.to_excel` (:issue:`22015`)
 - :meth:`DataFrame.corr` and :meth:`Series.corr` now raise a ``ValueError`` along with a helpful error message instead of a ``KeyError`` when supplied with an invalid method (:issue:`22298`)
 - :meth:`shift` will now always return a copy, instead of the previous behaviour of returning self when shifting by 0 (:issue:`22397`)
+- :meth:`DataFrame.set_index` now raises a ``TypeError`` for incorrect types, has an improved ``KeyError`` message, and will not fail on duplicate column names with ``drop=True``. (:issue:`22484`)
 
 .. _whatsnew_0240.deprecations:
 
diff --git a/pandas/core/frame.py b/pandas/core/frame.py
index 3af753b05ed58a..db8aa4fc640b5c 100644
--- a/pandas/core/frame.py
+++ b/pandas/core/frame.py
@@ -61,7 +61,7 @@
     is_named_tuple)
 from pandas.core.dtypes.concat import _get_sliced_frame_result_type
 from pandas.core.dtypes.missing import isna, notna
-
+from pandas.core.dtypes.generic import ABCIndexClass, ABCMultiIndex, ABCSeries
 
 from pandas.core.generic import NDFrame, _shared_docs
 from pandas.core.index import (Index, MultiIndex, ensure_index,
@@ -3898,6 +3898,22 @@ def set_index(self, keys, drop=True, append=False, inplace=False,
         if not isinstance(keys, list):
             keys = [keys]
 
+        missing = []
+        for x in keys:
+            if not (is_scalar(x) or isinstance(x, tuple)):
+                if not isinstance(x, (ABCSeries, ABCIndexClass, ABCMultiIndex,
+                                      list, np.ndarray)):
+                    raise TypeError('keys may only contain a combination of '
+                                    'the following: valid column keys, '
+                                    'Series, Index, MultiIndex, list or '
+                                    'np.ndarray')
+            else:
+                if x not in self:
+                    missing.append(x)
+
+        if missing:
+            raise KeyError('{}'.format(missing))
+
         vi = verify_integrity
         return super(DataFrame, self).set_index(keys=keys, drop=drop,
                                                 append=append, inplace=inplace,
diff --git a/pandas/core/generic.py b/pandas/core/generic.py
index a47d356ce9e0eb..9dbb464275ce04 100644
--- a/pandas/core/generic.py
+++ b/pandas/core/generic.py
@@ -786,7 +786,8 @@ def set_index(self, keys, drop=True, append=False, inplace=False,
             raise ValueError('Index has duplicate keys: {dup}'.format(
                 dup=duplicates))
 
-        for c in to_remove:
+        # use set to handle duplicate column names gracefully in case of drop
+        for c in set(to_remove):
             del obj[c]
 
         # clear up memory usage
diff --git a/pandas/tests/frame/test_alter_axes.py b/pandas/tests/frame/test_alter_axes.py
index 4e61c9c62266df..8c635b50a7c252 100644
--- a/pandas/tests/frame/test_alter_axes.py
+++ b/pandas/tests/frame/test_alter_axes.py
@@ -186,18 +186,19 @@ def test_set_index_pass_arrays_duplicate(self, frame_of_index_cols, drop,
 
         # == gives ambiguous Boolean for Series
         if drop and keys[0] is 'A' and keys[1] is 'A':
-            with tm.assert_raises_regex(KeyError, '.*'):
-                df.set_index(keys, drop=drop, append=append)
+            # can't drop same column twice
+            first_drop = False
         else:
-            result = df.set_index(keys, drop=drop, append=append)
+            first_drop = drop
 
-            # to test against already-tested behavior, we add sequentially,
-            # hence second append always True; must wrap in list, otherwise
-            # list-box will be illegal
-            expected = df.set_index([keys[0]], drop=drop, append=append)
-            expected = expected.set_index([keys[1]], drop=drop, append=True)
+        # to test against already-tested behaviour, we add sequentially,
+        # hence second append always True; must wrap in list, otherwise
+        # list-box will be illegal
+        expected = df.set_index([keys[0]], drop=first_drop, append=append)
+        expected = expected.set_index([keys[1]], drop=drop, append=True)
 
-            tm.assert_frame_equal(result, expected)
+        result = df.set_index(keys, drop=drop, append=append)
+        tm.assert_frame_equal(result, expected)
 
     @pytest.mark.parametrize('append', [True, False])
     @pytest.mark.parametrize('drop', [True, False])
@@ -229,13 +230,24 @@ def test_set_index_verify_integrity(self, frame_of_index_cols):
     def test_set_index_raise(self, frame_of_index_cols, drop, append):
         df = frame_of_index_cols
 
-        with tm.assert_raises_regex(KeyError, '.*'):  # column names are A-E
+        with tm.assert_raises_regex(KeyError, "['foo', 'bar', 'baz']"):
+            # column names are A-E
             df.set_index(['foo', 'bar', 'baz'], drop=drop, append=append)
 
         # non-existent key in list with arrays
-        with tm.assert_raises_regex(KeyError, '.*'):
+        with tm.assert_raises_regex(KeyError, 'X'):
             df.set_index([df['A'], df['B'], 'X'], drop=drop, append=append)
 
+        rgx = 'keys may only contain a combination of the following:.*'
+        # forbidden type, e.g. set
+        with tm.assert_raises_regex(TypeError, rgx):
+            df.set_index(set(df['A']), drop=drop, append=append)
+
+        # forbidden type in list, e.g. set
+        with tm.assert_raises_regex(TypeError, rgx):
+            df.set_index(['A', df['A'], set(df['A'])],
+                         drop=drop, append=append)
+
     def test_construction_with_categorical_index(self):
         ci = tm.makeCategoricalIndex(10)
         ci.name = 'B'