Wave-induced set-up is a nonlinear phenomenon driven by the release of momentum from breaking waves. It may cause a systematic rise in the water level in certain coastal segments. We address the contribution of wave set-up into the formation of extreme water levels at the waterfront in the Tallinn area of the north-eastern Baltic Sea. The parameters of set-up are evaluated using the wave properties computed for 1981–2014 with a triple-nested WAM model with a horizontal resolution of about 470 m. The offshore water level is extracted from the output of the Rossby Centre Ocean (RCO) model. The maximum set-up may reach 0.7–0.8 m in some coastal sections and the all-time highest measured water level is 1.52–1.55 m in the study area. The high offshore water levels are only infrequently synchronized with extreme set-up events. Wave set-up may contribute to the all-time maximum water level at the shoreline by up to 0.5 m. This contribution considerably varies for different years. The largest contribution from set-up into extreme water levels usually occurs during north-westerly storms.