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For example, to any system \\((\\mu_i)_{i\\in I}\\) of fuzzy measures on the same space a set-valued fuzzy measure \\(\\pi\\) given by  \\[ \\pi(A)= [\\inf\\mu_i(A),\\sup\\mu_i(A)] \\]  can be assigned (compare the concept of lower and upper probabilities, see also [\\textit{B. De Finetti}, ``Theory of probability. A critical introductory treatment'', Vol. I (1974; Zbl 0328.60002)]). On the other hand, set-valued fuzzy measures extends the Artstein concept of set-valued measures [\\textit{Z. Artstein}, Trans. Am. Math. Soc. 165, 103--125 (1972; Zbl 0237.28008)].   The paper deals mainly with set-valued fuzzy measures defined by set-valued fuzzy integrals (generalizations of the Aumann integral). Moreover, set-valued pseudo-additive measures are introduced and discussed. Though the main aim of the paper is the introduction of the set-valued fuzzy measures; it brings also some variants of classical results from the measure theory. 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