With the forecasted fast increase in world population and global climate change, providing sufficient amounts of quality food becomes a major challenge for human society. Seed and fruit crop yield is determined by developmental processes including flower initiation, pollen fertility and fruit set. Fruit set is defined as the transition from flower to young fruit, a key step in the development of sexually reproducing higher plants. Plant hormones have important roles during flower pollination and fertilization, leading to fruit set. Moreover, it is well established that fruit set can be triggered by phytohormones like auxin and gibberellins (GAs), in the absence of fertilization, both hormones being commonly used to produce parthenocarpic fruits and to increase fruit yield. Additionally, a number of studies highlighted the role of ethylene in plant reproductive organ development. The present review integrates current knowledge on the roles of auxin and ethylene in different steps of the fruit set process with a specific emphasis on the interactions between the two hormones. A deeper understanding of the interplay between auxin and ethylene may provide new leads towards designing strategies for a better control of fruit initiation and ultimately yield.