BUG: incorrect set_labels in MI

doc/source/whatsnew/v0.23.0.txt

@@ -363,6 +363,7 @@ Indexing
 - Bug in indexing non-scalar value from ``Series`` having non-unique ``Index`` will return value flattened (:issue:`17610`)
 - Bug in :func:`DatetimeIndex.insert` where inserting ``NaT`` into a timezone-aware index incorrectly raised (:issue:`16357`)
 - Bug in ``__setitem__`` when indexing a :class:`DataFrame` with a 2-d boolean ndarray (:issue:`18582`)
+- Bug in :func:`MultiIndex.set_labels` which would cause casting (and potentially clipping) of the new labels if the ``level`` argument is not 0 or a list like [0, 1, ... ]  (:issue:`19057`)
 - Bug in ``str.extractall`` when there were no matches empty :class:`Index` was returned instead of appropriate :class:`MultiIndex` (:issue:`19034`)
 
 I/O

pandas/core/indexes/multi.py

@@ -328,8 +328,9 @@ def _set_labels(self, labels, level=None, copy=False, validate=True,
         else:
             level = [self._get_level_number(l) for l in level]
             new_labels = list(self._labels)
-            for l, lev, lab in zip(level, self.levels, labels):
-                new_labels[l] = _ensure_frozen(
+            for lev_idx, lab in zip(level, labels):
+                lev = self.levels[lev_idx]
+                new_labels[lev_idx] = _ensure_frozen(
                     lab, lev, copy=copy)._shallow_copy()
             new_labels = FrozenList(new_labels)
 

pandas/tests/indexes/test_multi.py

@@ -327,6 +327,21 @@ def assert_matching(actual, expected):
         assert_matching(ind2.labels, new_labels)
         assert_matching(self.index.labels, labels)
 
+        # label changing for levels of different magnitude of categories
+        ind = pd.MultiIndex.from_tuples([(0, i) for i in range(130)])
+        new_labels = range(129, -1, -1)
+        expected = pd.MultiIndex.from_tuples(
+            [(0, i) for i in new_labels])
+
+        # [w/o mutation]
+        result = ind.set_labels(labels=new_labels, level=1)
+        assert result.equals(expected)
+
+        # [w/ mutation]
+        result = ind.copy()
+        result.set_labels(labels=new_labels, level=1, inplace=True)
+        assert result.equals(expected)
+
     def test_set_levels_labels_names_bad_input(self):
         levels, labels = self.index.levels, self.index.labels
         names = self.index.names