diff --git a/doc/source/whatsnew/v0.17.0.txt b/doc/source/whatsnew/v0.17.0.txt
index 7e69a8044a305..3e611d00a8757 100644
--- a/doc/source/whatsnew/v0.17.0.txt
+++ b/doc/source/whatsnew/v0.17.0.txt
@@ -606,7 +606,7 @@ Bug Fixes
 - Bug in ``offsets.generate_range`` where ``start`` and ``end`` have finer precision than ``offset`` (:issue:`9907`)
 - Bug in ``pd.rolling_*`` where ``Series.name`` would be lost in the output (:issue:`10565`)
 - Bug in ``stack`` when index or columns are not unique. (:issue:`10417`)
-
+- Bug in setting a Panel when an axis has a multi-index (:issue:`10360`)
 
 
 
diff --git a/pandas/core/indexing.py b/pandas/core/indexing.py
index 8a8ee00f234fa..b8ee831cdc12c 100644
--- a/pandas/core/indexing.py
+++ b/pandas/core/indexing.py
@@ -201,6 +201,7 @@ def _setitem_with_indexer(self, indexer, value):
 
         # also has the side effect of consolidating in-place
         from pandas import Panel, DataFrame, Series
+        info_axis = self.obj._info_axis_number
 
         # maybe partial set
         take_split_path = self.obj._is_mixed_type
@@ -213,6 +214,16 @@ def _setitem_with_indexer(self, indexer, value):
                 val = list(value.values()) if isinstance(value,dict) else value
                 take_split_path = not blk._can_hold_element(val)
 
+        if isinstance(indexer, tuple) and len(indexer) == len(self.obj.axes):
+
+            for i, ax in zip(indexer, self.obj.axes):
+
+                # if we have any multi-indexes that have non-trivial slices (not null slices)
+                # then we must take the split path, xref GH 10360
+                if isinstance(ax, MultiIndex) and not (is_integer(i) or is_null_slice(i)):
+                    take_split_path = True
+                    break
+
         if isinstance(indexer, tuple):
             nindexer = []
             for i, idx in enumerate(indexer):
@@ -328,14 +339,8 @@ def _setitem_with_indexer(self, indexer, value):
                     return self.obj.__setitem__(indexer, value)
 
         # set
-        info_axis = self.obj._info_axis_number
         item_labels = self.obj._get_axis(info_axis)
 
-        # if we have a complicated setup, take the split path
-        if (isinstance(indexer, tuple) and
-                any([isinstance(ax, MultiIndex) for ax in self.obj.axes])):
-            take_split_path = True
-
         # align and set the values
         if take_split_path:
 
diff --git a/pandas/tests/test_indexing.py b/pandas/tests/test_indexing.py
index 2c0bfcd9b905d..ee16b44f173ec 100644
--- a/pandas/tests/test_indexing.py
+++ b/pandas/tests/test_indexing.py
@@ -411,7 +411,7 @@ def test_iloc_exceeds_bounds(self):
             df.iloc[30]
         self.assertRaises(IndexError, lambda : df.iloc[-30])
 
-        # GH10779 
+        # GH10779
         # single positive/negative indexer exceeding Series bounds should raise an IndexError
         with tm.assertRaisesRegexp(IndexError, 'single positional indexer is out-of-bounds'):
             s.iloc[30]
@@ -2652,6 +2652,44 @@ def test_panel_setitem(self):
         tm.assert_panel_equal(p, expected)
 
 
+    def test_panel_setitem_with_multiindex(self):
+
+        # 10360
+        # failing with a multi-index
+        arr = np.array([[[1,2,3],[0,0,0]],[[0,0,0],[0,0,0]]],dtype=np.float64)
+
+        # reg index
+        axes = dict(items=['A', 'B'], major_axis=[0, 1], minor_axis=['X', 'Y' ,'Z'])
+        p1 = Panel(0., **axes)
+        p1.iloc[0, 0, :] = [1, 2, 3]
+        expected = Panel(arr, **axes)
+        tm.assert_panel_equal(p1, expected)
+
+        # multi-indexes
+        axes['items'] = pd.MultiIndex.from_tuples([('A','a'), ('B','b')])
+        p2 = Panel(0., **axes)
+        p2.iloc[0, 0, :] = [1, 2, 3]
+        expected = Panel(arr, **axes)
+        tm.assert_panel_equal(p2, expected)
+
+        axes['major_axis']=pd.MultiIndex.from_tuples([('A',1),('A',2)])
+        p3 = Panel(0., **axes)
+        p3.iloc[0, 0, :] = [1, 2, 3]
+        expected = Panel(arr, **axes)
+        tm.assert_panel_equal(p3, expected)
+
+        axes['minor_axis']=pd.MultiIndex.from_product([['X'],range(3)])
+        p4 = Panel(0., **axes)
+        p4.iloc[0, 0, :] = [1, 2, 3]
+        expected = Panel(arr, **axes)
+        tm.assert_panel_equal(p4, expected)
+
+        arr = np.array([[[1,0,0],[2,0,0]],[[0,0,0],[0,0,0]]],dtype=np.float64)
+        p5 = Panel(0., **axes)
+        p5.iloc[0, :, 0] = [1, 2]
+        expected = Panel(arr, **axes)
+        tm.assert_panel_equal(p5, expected)
+
     def test_panel_assignment(self):
 
         # GH3777