Let $G$ be a connected graph. Let $N(G)$ and $S(G)$ be the number of connected sets of $G$ and the sum of the orders of these connected sets of $G$, respectively. Then $A(G)=\frac{S(G)}{N(G)}$ is called the average order of a connected set of $G$. In this paper, we derive a closed-form formula for $A(K_m \times P_n)$, where $K_m \times P_n$ is the Cartesian product of the complete graph $K_m$ and the path $P_n$.