diff --git a/benches/bench_set.rs b/benches/bench_set.rs
index 1e27fb76be0..d59e3e57f4c 100644
--- a/benches/bench_set.rs
+++ b/benches/bench_set.rs
@@ -4,6 +4,20 @@ use pyo3::prelude::*;
 use pyo3::types::PySet;
 use std::collections::{BTreeSet, HashSet};
 
+fn set_new(b: &mut Bencher<'_>) {
+    Python::with_gil(|py| {
+        const LEN: usize = 100_000;
+        // Create Python objects up-front, so that the benchmark doesn't need to include
+        // the cost of allocating LEN Python integers
+        let elements: Vec<PyObject> = (0..LEN).into_iter().map(|i| i.into_py(py)).collect();
+        b.iter(|| {
+            let pool = unsafe { py.new_pool() };
+            PySet::new(py, &elements).unwrap();
+            drop(pool);
+        });
+    });
+}
+
 fn iter_set(b: &mut Bencher<'_>) {
     Python::with_gil(|py| {
         const LEN: usize = 100_000;
@@ -44,6 +58,7 @@ fn extract_hashbrown_set(b: &mut Bencher<'_>) {
 }
 
 fn criterion_benchmark(c: &mut Criterion) {
+    c.bench_function("set_new", set_new);
     c.bench_function("iter_set", iter_set);
     c.bench_function("extract_hashset", extract_hashset);
     c.bench_function("extract_btreeset", extract_btreeset);
diff --git a/newsfragments/2795.changed.md b/newsfragments/2795.changed.md
new file mode 100644
index 00000000000..b78efb63e5f
--- /dev/null
+++ b/newsfragments/2795.changed.md
@@ -0,0 +1 @@
+Accept any iterator in `PySet::new` and `PyFrozenSet::new`.
diff --git a/src/conversions/hashbrown.rs b/src/conversions/hashbrown.rs
index 5445e228046..c7a99ce0dcc 100644
--- a/src/conversions/hashbrown.rs
+++ b/src/conversions/hashbrown.rs
@@ -22,6 +22,7 @@
 //! Note that you must use compatible versions of hashbrown and PyO3.
 //! The required hashbrown version may vary based on the version of PyO3.
 use crate::{
+    types::set::new_from_iter,
     types::{IntoPyDict, PyDict, PySet},
     FromPyObject, IntoPy, PyAny, PyErr, PyObject, PyResult, Python, ToPyObject,
 };
@@ -73,13 +74,9 @@ where
     T: hash::Hash + Eq + ToPyObject,
 {
     fn to_object(&self, py: Python<'_>) -> PyObject {
-        let set = PySet::new::<T>(py, &[]).expect("Failed to construct empty set");
-        {
-            for val in self {
-                set.add(val).expect("Failed to add to set");
-            }
-        }
-        set.into()
+        new_from_iter(py, self)
+            .expect("Failed to create Python set from hashbrown::HashSet")
+            .into()
     }
 }
 
@@ -89,13 +86,9 @@ where
     S: hash::BuildHasher + Default,
 {
     fn into_py(self, py: Python<'_>) -> PyObject {
-        let set = PySet::empty(py).expect("Failed to construct empty set");
-        {
-            for val in self {
-                set.add(val.into_py(py)).expect("Failed to add to set");
-            }
-        }
-        set.into()
+        new_from_iter(py, self.into_iter().map(|item| item.into_py(py)))
+            .expect("Failed to create Python set from hashbrown::HashSet")
+            .into()
     }
 }
 
diff --git a/src/conversions/std/set.rs b/src/conversions/std/set.rs
index 5e2ff6c4786..830698c794f 100644
--- a/src/conversions/std/set.rs
+++ b/src/conversions/std/set.rs
@@ -1,8 +1,8 @@
 use std::{cmp, collections, hash};
 
 use crate::{
-    inspect::types::TypeInfo, types::PySet, FromPyObject, IntoPy, PyAny, PyObject, PyResult,
-    Python, ToPyObject,
+    inspect::types::TypeInfo, types::set::new_from_iter, types::PySet, FromPyObject, IntoPy, PyAny,
+    PyObject, PyResult, Python, ToPyObject,
 };
 
 impl<T, S> ToPyObject for collections::HashSet<T, S>
@@ -11,13 +11,9 @@ where
     S: hash::BuildHasher + Default,
 {
     fn to_object(&self, py: Python<'_>) -> PyObject {
-        let set = PySet::new::<T>(py, &[]).expect("Failed to construct empty set");
-        {
-            for val in self {
-                set.add(val).expect("Failed to add to set");
-            }
-        }
-        set.into()
+        new_from_iter(py, self)
+            .expect("Failed to create Python set from HashSet")
+            .into()
     }
 }
 
@@ -26,13 +22,9 @@ where
     T: hash::Hash + Eq + ToPyObject,
 {
     fn to_object(&self, py: Python<'_>) -> PyObject {
-        let set = PySet::new::<T>(py, &[]).expect("Failed to construct empty set");
-        {
-            for val in self {
-                set.add(val).expect("Failed to add to set");
-            }
-        }
-        set.into()
+        new_from_iter(py, self)
+            .expect("Failed to create Python set from BTreeSet")
+            .into()
     }
 }
 
@@ -42,13 +34,9 @@ where
     S: hash::BuildHasher + Default,
 {
     fn into_py(self, py: Python<'_>) -> PyObject {
-        let set = PySet::empty(py).expect("Failed to construct empty set");
-        {
-            for val in self {
-                set.add(val.into_py(py)).expect("Failed to add to set");
-            }
-        }
-        set.into()
+        new_from_iter(py, self.into_iter().map(|item| item.into_py(py)))
+            .expect("Failed to create Python set from HashSet")
+            .into()
     }
 
     fn type_output() -> TypeInfo {
@@ -76,13 +64,9 @@ where
     K: IntoPy<PyObject> + cmp::Ord,
 {
     fn into_py(self, py: Python<'_>) -> PyObject {
-        let set = PySet::empty(py).expect("Failed to construct empty set");
-        {
-            for val in self {
-                set.add(val.into_py(py)).expect("Failed to add to set");
-            }
-        }
-        set.into()
+        new_from_iter(py, self.into_iter().map(|item| item.into_py(py)))
+            .expect("Failed to create Python set from BTreeSet")
+            .into()
     }
 
     fn type_output() -> TypeInfo {
diff --git a/src/types/frozenset.rs b/src/types/frozenset.rs
index 02ac0f106fa..5b728784a30 100644
--- a/src/types/frozenset.rs
+++ b/src/types/frozenset.rs
@@ -1,9 +1,12 @@
 // Copyright (c) 2017-present PyO3 Project and Contributors
 //
 
-use crate::err::{PyErr, PyResult};
 #[cfg(Py_LIMITED_API)]
 use crate::types::PyIterator;
+use crate::{
+    err::{self, PyErr, PyResult},
+    IntoPyPointer, Py, PyObject,
+};
 use crate::{ffi, AsPyPointer, PyAny, Python, ToPyObject};
 
 use std::ptr;
@@ -31,9 +34,12 @@ impl PyFrozenSet {
     /// Creates a new frozenset.
     ///
     /// May panic when running out of memory.
-    pub fn new<'p, T: ToPyObject>(py: Python<'p>, elements: &[T]) -> PyResult<&'p PyFrozenSet> {
-        let list = elements.to_object(py);
-        unsafe { py.from_owned_ptr_or_err(ffi::PyFrozenSet_New(list.as_ptr())) }
+    #[inline]
+    pub fn new<'a, 'p, T: ToPyObject + 'a>(
+        py: Python<'p>,
+        elements: impl IntoIterator<Item = &'a T>,
+    ) -> PyResult<&'p PyFrozenSet> {
+        new_from_iter(py, elements).map(|set| set.into_ref(py))
     }
 
     /// Creates a new empty frozen set
@@ -157,6 +163,34 @@ mod impl_ {
 
 pub use impl_::*;
 
+#[inline]
+pub(crate) fn new_from_iter<T: ToPyObject>(
+    py: Python<'_>,
+    elements: impl IntoIterator<Item = T>,
+) -> PyResult<Py<PyFrozenSet>> {
+    fn new_from_iter_inner(
+        py: Python<'_>,
+        elements: &mut dyn Iterator<Item = PyObject>,
+    ) -> PyResult<Py<PyFrozenSet>> {
+        let set: Py<PyFrozenSet> = unsafe {
+            // We create the  `Py` pointer because its Drop cleans up the set if user code panics.
+            Py::from_owned_ptr_or_err(py, ffi::PyFrozenSet_New(std::ptr::null_mut()))?
+        };
+        let ptr = set.as_ptr();
+
+        for obj in elements {
+            unsafe {
+                err::error_on_minusone(py, ffi::PySet_Add(ptr, obj.into_ptr()))?;
+            }
+        }
+
+        Ok(set)
+    }
+
+    let mut iter = elements.into_iter().map(|e| e.to_object(py));
+    new_from_iter_inner(py, &mut iter)
+}
+
 #[cfg(test)]
 mod tests {
     use super::*;
diff --git a/src/types/mod.rs b/src/types/mod.rs
index 3dae38226e6..923dfcc096d 100644
--- a/src/types/mod.rs
+++ b/src/types/mod.rs
@@ -286,7 +286,7 @@ mod num;
 #[cfg(not(PyPy))]
 mod pysuper;
 mod sequence;
-mod set;
+pub(crate) mod set;
 mod slice;
 mod string;
 mod traceback;
diff --git a/src/types/set.rs b/src/types/set.rs
index 78eb439204b..36774b9a014 100644
--- a/src/types/set.rs
+++ b/src/types/set.rs
@@ -1,9 +1,12 @@
 // Copyright (c) 2017-present PyO3 Project and Contributors
 //
 
-use crate::err::{self, PyErr, PyResult};
 #[cfg(Py_LIMITED_API)]
 use crate::types::PyIterator;
+use crate::{
+    err::{self, PyErr, PyResult},
+    IntoPyPointer, Py,
+};
 use crate::{ffi, AsPyPointer, PyAny, PyObject, Python, ToPyObject};
 use std::ptr;
 
@@ -30,9 +33,12 @@ impl PySet {
     /// Creates a new set with elements from the given slice.
     ///
     /// Returns an error if some element is not hashable.
-    pub fn new<'p, T: ToPyObject>(py: Python<'p>, elements: &[T]) -> PyResult<&'p PySet> {
-        let list = elements.to_object(py);
-        unsafe { py.from_owned_ptr_or_err(ffi::PySet_New(list.as_ptr())) }
+    #[inline]
+    pub fn new<'a, 'p, T: ToPyObject + 'a>(
+        py: Python<'p>,
+        elements: impl IntoIterator<Item = &'a T>,
+    ) -> PyResult<&'p PySet> {
+        new_from_iter(py, elements).map(|set| set.into_ref(py))
     }
 
     /// Creates a new empty set.
@@ -230,6 +236,34 @@ mod impl_ {
 
 pub use impl_::*;
 
+#[inline]
+pub(crate) fn new_from_iter<T: ToPyObject>(
+    py: Python<'_>,
+    elements: impl IntoIterator<Item = T>,
+) -> PyResult<Py<PySet>> {
+    fn new_from_iter_inner(
+        py: Python<'_>,
+        elements: &mut dyn Iterator<Item = PyObject>,
+    ) -> PyResult<Py<PySet>> {
+        let set: Py<PySet> = unsafe {
+            // We create the  `Py` pointer because its Drop cleans up the set if user code panics.
+            Py::from_owned_ptr_or_err(py, ffi::PySet_New(std::ptr::null_mut()))?
+        };
+        let ptr = set.as_ptr();
+
+        for obj in elements {
+            unsafe {
+                err::error_on_minusone(py, ffi::PySet_Add(ptr, obj.into_ptr()))?;
+            }
+        }
+
+        Ok(set)
+    }
+
+    let mut iter = elements.into_iter().map(|e| e.to_object(py));
+    new_from_iter_inner(py, &mut iter)
+}
+
 #[cfg(test)]
 mod tests {
     use super::PySet;