The difference between the two words is subtle. "Set" is typically the same meaning as "put", but "set" can imply a more gentle or deliberate action.
For example: "He set the vase on the mantle carefully."
However, "put" can imply a less deliberate action. For example: "I wasn't sure where the vase belonged, so I just put it on the table." Or: "Just put it down somewhere, we're in a hurry!"
In most situations, though, "put" and "set" can be used interchangeably.