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what year did the mint first make a proof set?
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I think the first proof "set" was
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Yes, the actual official set was made in 1936 but before that you could buy other proof sets from the mint, just not of every denomination in the same set.
Complicated question and answer. The mint began openly selling proofs to the public in 1858, and you could buy individual coins. They also offered a "set" of the minor coins after the mid 1860's. For a short time in I believe the 1870's you could ONLY buy full sets of proofs (gold sets or silver sets. The minor coins were included in the silver sets) but this was quickly discontinued and they went back to individual coin sales. Proof coin sales ended after 1916.
In the "modern" era proofs came back in 1936 but they were NOT sold as sets. They were sold once again as individual coins. Yes you could order one of each coin, but you were still buying individual coins, not a "set". That continued through 1942 when the proof coins went away again. When they came back in 1950 they were sold as full sets ONLY. You could no longer buy individual coins.