SET domain-containing genes catalyse histone lysine methylation, which alters chromatin structure and regulates the transcription of genes that are involved in various developmental and physiological processes. The present study identified 53 SET domain-containing genes in C4 panicoid model, foxtail millet (Setaria italica) and the genes were physically mapped onto nine chromosomes. Phylogenetic and structural analyses classified SiSET proteins into five classes (I-V). RNA-seq derived expression profiling showed that SiSET genes were differentially expressed in four tissues namely, leaf, root, stem and spica. Expression analyses using qRT-PCR was performed for 21 SiSET genes under different abiotic stress and hormonal treatments, which showed differential expression of these genes during late phase of stress and hormonal treatments. Significant upregulation of SiSET gene was observed during cold stress, which has been confirmed by over-expressing a candidate gene, SiSET14 in yeast. Interestingly, hypermethylation was observed in gene body of highly differentially expressed genes, whereas methylation event was completely absent in their transcription start sites. This suggested the occurrence of demethylation events during various abiotic stresses, which enhance the gene expression. Altogether, the present study would serve as a base for further functional characterization of SiSET genes towards understanding their molecular roles in conferring stress tolerance.