The Abyssal Set (Shadows of Despair) is a 3 piece set that is earned in Abyssal Sea. The main piece, Kraken Armor, is a reward for completing the Kraken Collection. The other 2 pieces are in Legendary chests dropped by Leviathan(Secondary) and Abyssal Nightmare(Accessory).
Alternatively, you can purchase the last 2 pieces for 2,000 Smith Tokens.