We study the classic set cover problem from the perspective of sub-linear algorithms. Given access to a collection of $m$ sets over $n$ elements in the query model, we show that sub-linear algorithms derived from existing techniques have almost tight query complexities. On one hand, first we show an adaptation of the streaming algorithm presented in Har-Peled et al. [2016] to the sub-linear query model, that returns an $α$-approximate cover using $\tilde{O}(m(n/k)^{1/(α-1)} + nk)$ queries to the input, where $k$ denotes the value of a minimum set cover. We then complement this upper bound by proving that for lower values of $k$, the required number of queries is $\tildeΩ(m(n/k)^{1/(2α)})$, even for estimating the optimal cover size. Moreover, we prove that even checking whether a given collection of sets covers all the elements would require $Ω(nk)$ queries. These two lower bounds provide strong evidence that the upper bound is almost tight for certain values of the parameter $k$. On the other hand, we show that this bound is not optimal for larger values of the parameter $k$, as there exists a $(1+\varepsilon)$-approximation algorithm with $\tilde{O}(mn/k\varepsilon^2)$ queries. We show that this bound is essentially tight for sufficiently small constant $\varepsilon$, by establishing a lower bound of $\tildeΩ(mn/k)$ query complexity.