We investigate the entropy for a class of upper semi-continuous set-valued functions, called Markov set-valued functions, that are a generalization of single-valued Markov interval functions. It is known that the entropy of a Markov interval function can be found by calculating the entropy of an associated shift of finite type. In this paper, we construct a similar shift of finite type for Markov set-valued functions and use this shift space to find upper and lower bounds on the entropy of the set-valued function.