Navigate to the desired library that has document sets

Place a  tick next to the document set that you wish to share

In the ribbon, click on the Files tab

Click on  Share

Enter the names or email addresses of the users you wish to share the document set with

You can switch Can edit to Can view if you want lower their level of access

You can optionally include a personal message that will be included in a confirmation email

The confirmation email can be switched off in Show Options

Click Share to submit your request for approval