diff --git a/doc/source/whatsnew/v0.25.0.rst b/doc/source/whatsnew/v0.25.0.rst
index ebe8b4770f6aa..2e7d5e95349be 100644
--- a/doc/source/whatsnew/v0.25.0.rst
+++ b/doc/source/whatsnew/v0.25.0.rst
@@ -1053,6 +1053,7 @@ Indexing
 - Bug in :meth:`DataFrame.loc` and :meth:`DataFrame.iloc` on a :class:`DataFrame` with a single timezone-aware datetime64[ns] column incorrectly returning a scalar instead of a :class:`Series` (:issue:`27110`)
 - Bug in :class:`CategoricalIndex` and :class:`Categorical` incorrectly raising ``ValueError`` instead of ``TypeError`` when a list is passed using the ``in`` operator (``__contains__``) (:issue:`21729`)
 - Bug in setting a new value in a :class:`Series` with a :class:`Timedelta` object incorrectly casting the value to an integer (:issue:`22717`)
+- Bug in :class:`Series` setting a new key (``__setitem__``) with a timezone-aware datetime incorrectly raising ``ValueError`` (:issue:`12862`)
 -
 
 Missing
diff --git a/pandas/core/series.py b/pandas/core/series.py
index 4b78907e66106..acb0826953508 100644
--- a/pandas/core/series.py
+++ b/pandas/core/series.py
@@ -1268,6 +1268,13 @@ def _set_with(self, key, value):
                 except Exception:
                     pass
 
+            if is_scalar(key) and not is_integer(key) and key not in self.index:
+                # GH#12862 adding an new key to the Series
+                # Note: have to exclude integers because that is ambiguously
+                #  position-based
+                self.loc[key] = value
+                return
+
             if is_scalar(key):
                 key = [key]
             elif not isinstance(key, (list, Series, np.ndarray)):
diff --git a/pandas/tests/indexing/test_loc.py b/pandas/tests/indexing/test_loc.py
index d749e697c8282..90d1b0b1e0198 100644
--- a/pandas/tests/indexing/test_loc.py
+++ b/pandas/tests/indexing/test_loc.py
@@ -802,7 +802,7 @@ def test_loc_setitem_with_scalar_index(self, indexer, value):
 
         assert is_scalar(result) and result == "Z"
 
-    def test_loc_coerceion(self):
+    def test_loc_coercion(self):
 
         # 12411
         df = DataFrame({"date": [Timestamp("20130101").tz_localize("UTC"), pd.NaT]})
@@ -838,6 +838,26 @@ def test_loc_coerceion(self):
         result = df.iloc[3:]
         tm.assert_series_equal(result.dtypes, expected)
 
+    def test_setitem_new_key_tz(self):
+        # GH#12862 should not raise on assigning the second value
+        vals = [
+            pd.to_datetime(42).tz_localize("UTC"),
+            pd.to_datetime(666).tz_localize("UTC"),
+        ]
+        expected = pd.Series(vals, index=["foo", "bar"])
+
+        ser = pd.Series()
+        ser["foo"] = vals[0]
+        ser["bar"] = vals[1]
+
+        tm.assert_series_equal(ser, expected)
+
+        ser = pd.Series()
+        ser.loc["foo"] = vals[0]
+        ser.loc["bar"] = vals[1]
+
+        tm.assert_series_equal(ser, expected)
+
     def test_loc_non_unique(self):
         # GH3659
         # non-unique indexer with loc slice
diff --git a/pandas/tests/series/indexing/test_indexing.py b/pandas/tests/series/indexing/test_indexing.py
index 1fb1dd3bb998a..6ff878f07da84 100644
--- a/pandas/tests/series/indexing/test_indexing.py
+++ b/pandas/tests/series/indexing/test_indexing.py
@@ -523,7 +523,7 @@ def test_setitem_with_tz_dst():
     tm.assert_series_equal(s, exp)
 
 
-def test_categorial_assigning_ops():
+def test_categorical_assigning_ops():
     orig = Series(Categorical(["b", "b"], categories=["a", "b"]))
     s = orig.copy()
     s[:] = "a"