The Riemann integration for functions whose values are sets on time scales is introduced in this chapter. Efficient definitions of the set-valued Riemann \(\Delta \) -integral and set-valued Riemann \(\nabla \) -integral are put forward. The criterion of integrability is established, and some basic properties and results are formulated. The notion of convexity of the integral is discussed, and the relation between set-valued Riemann integrable functions and its support function is investigated. The relation between set-valued Riemann integral and the ordinary Riemann integral and the Hausdorff metric are also explored.