This paper proposes Automatic Heuristic Set Design (AHSD), a novel method for automatically generating complementary heuristic sets applicable to diverse problem instances, to address the problem of poor generalization performance caused by the generation of a single heuristic, which is Limitations, in Automatic Heuristic Design (AHD) using Large Language Models (LLMs). AHSD aims to generate a small set of complementary heuristics so that at least one heuristic optimizes each problem instance. We show that the objective function of AHSD is monotonically increasing and hyper-modular, and we propose the Evolution of Heuristic Sets Algorithm (EoH-S) that effectively generates high-quality complementary heuristic sets by leveraging two novel mechanisms: complementary population management and complementary-aware genetic algorithm search. Experimental results on AHD tasks with three different sizes and distributions of problem instances demonstrate that EoH-S consistently outperforms existing state-of-the-art AHD methods, achieving up to a 60% performance improvement.