diff --git a/doc/source/whatsnew/v1.4.0.rst b/doc/source/whatsnew/v1.4.0.rst
index d10eac2722e15..871e47ea3ce8d 100644
--- a/doc/source/whatsnew/v1.4.0.rst
+++ b/doc/source/whatsnew/v1.4.0.rst
@@ -98,6 +98,8 @@ Deprecations
 ~~~~~~~~~~~~
 - Deprecated :meth:`Index.is_type_compatible` (:issue:`42113`)
 - Deprecated ``method`` argument in :meth:`Index.get_loc`, use ``index.get_indexer([label], method=...)`` instead (:issue:`42269`)
+- Deprecated treating integer keys in :meth:`Series.__setitem__` as positional when the index is a :class:`Float64Index` not containing the key, a :class:`IntervalIndex` with no entries containing the key, or a :class:`MultiIndex` with leading :class:`Float64Index` level not containing the key (:issue:`33469`)
+-
 
 .. ---------------------------------------------------------------------------
 
diff --git a/pandas/core/series.py b/pandas/core/series.py
index c79ecd554bed5..12e7b7cae4983 100644
--- a/pandas/core/series.py
+++ b/pandas/core/series.py
@@ -1068,6 +1068,17 @@ def __setitem__(self, key, value) -> None:
             values = self._values
             if is_integer(key) and self.index.inferred_type != "integer":
                 # positional setter
+                if not self.index._should_fallback_to_positional:
+                    # GH#33469
+                    warnings.warn(
+                        "Treating integers as positional in Series.__setitem__ "
+                        "with a Float64Index is deprecated. In a future version, "
+                        "`series[an_int] = val` will insert a new key into the "
+                        "Series. Use `series.iloc[an_int] = val` to treat the "
+                        "key as positional.",
+                        FutureWarning,
+                        stacklevel=2,
+                    )
                 values[key] = value
             else:
                 # GH#12862 adding a new key to the Series
diff --git a/pandas/tests/indexing/test_coercion.py b/pandas/tests/indexing/test_coercion.py
index 7911cd7f12e0c..761e67bedbf8c 100644
--- a/pandas/tests/indexing/test_coercion.py
+++ b/pandas/tests/indexing/test_coercion.py
@@ -273,7 +273,12 @@ def _assert_setitem_index_conversion(
     ):
         """test index's coercion triggered by assign key"""
         temp = original_series.copy()
-        temp[loc_key] = 5
+        warn = None
+        if isinstance(loc_key, int) and temp.index.dtype == np.float64:
+            # GH#33469
+            warn = FutureWarning
+        with tm.assert_produces_warning(warn):
+            temp[loc_key] = 5
         exp = pd.Series([1, 2, 3, 4, 5], index=expected_index)
         tm.assert_series_equal(temp, exp)
         # check dtype explicitly for sure
@@ -324,7 +329,10 @@ def test_setitem_index_float64(self, val, exp_dtype, request):
             temp = obj.copy()
             msg = "index 5 is out of bounds for axis 0 with size 4"
             with pytest.raises(exp_dtype, match=msg):
-                temp[5] = 5
+                # GH#33469
+                depr_msg = "Treating integers as positional"
+                with tm.assert_produces_warning(FutureWarning, match=depr_msg):
+                    temp[5] = 5
             mark = pytest.mark.xfail(reason="TODO_GH12747 The result must be float")
             request.node.add_marker(mark)
         exp_index = pd.Index([1.1, 2.1, 3.1, 4.1, val])
diff --git a/pandas/tests/series/indexing/test_setitem.py b/pandas/tests/series/indexing/test_setitem.py
index 13054062defb4..cfb617cd7098b 100644
--- a/pandas/tests/series/indexing/test_setitem.py
+++ b/pandas/tests/series/indexing/test_setitem.py
@@ -10,6 +10,7 @@
     Categorical,
     DatetimeIndex,
     Index,
+    IntervalIndex,
     MultiIndex,
     NaT,
     Series,
@@ -906,3 +907,41 @@ def val(self):
     def is_inplace(self, obj):
         # This is specific to the 4 cases currently implemented for this class.
         return obj.dtype.kind != "i"
+
+
+def test_setitem_int_as_positional_fallback_deprecation():
+    # GH#42215 deprecated falling back to positional on __setitem__ with an
+    #  int not contained in the index
+    ser = Series([1, 2, 3, 4], index=[1.1, 2.1, 3.0, 4.1])
+    assert not ser.index._should_fallback_to_positional
+    # assert not ser.index.astype(object)._should_fallback_to_positional
+
+    with tm.assert_produces_warning(None):
+        # 3.0 is in our index, so future behavior is unchanged
+        ser[3] = 10
+    expected = Series([1, 2, 10, 4], index=ser.index)
+    tm.assert_series_equal(ser, expected)
+
+    msg = "Treating integers as positional in Series.__setitem__"
+    with tm.assert_produces_warning(FutureWarning, match=msg):
+        with pytest.raises(IndexError, match="index 5 is out of bounds"):
+            ser[5] = 5
+    # Once the deprecation is enforced, we will have
+    #  expected = Series([1, 2, 3, 4, 5], index=[1.1, 2.1, 3.0, 4.1, 5.0])
+
+    ii = IntervalIndex.from_breaks(range(10))[::2]
+    ser2 = Series(range(len(ii)), index=ii)
+    expected2 = ser2.copy()
+    expected2.iloc[-1] = 9
+    with tm.assert_produces_warning(FutureWarning, match=msg):
+        ser2[4] = 9
+    tm.assert_series_equal(ser2, expected2)
+
+    mi = MultiIndex.from_product([ser.index, ["A", "B"]])
+    ser3 = Series(range(len(mi)), index=mi)
+    expected3 = ser3.copy()
+    expected3.iloc[4] = 99
+
+    with tm.assert_produces_warning(FutureWarning, match=msg):
+        ser3[4] = 99
+    tm.assert_series_equal(ser3, expected3)
diff --git a/pandas/tests/series/test_arithmetic.py b/pandas/tests/series/test_arithmetic.py
index aac26c13c2a7c..6b7c2c698c211 100644
--- a/pandas/tests/series/test_arithmetic.py
+++ b/pandas/tests/series/test_arithmetic.py
@@ -874,7 +874,7 @@ def test_none_comparison(series_with_simple_index):
 
     # bug brought up by #1079
     # changed from TypeError in 0.17.0
-    series[0] = np.nan
+    series.iloc[0] = np.nan
 
     # noinspection PyComparisonWithNone
     result = series == None  # noqa