Find items in a table that match a set of conditions in another table
This is the standard logic to find subsets, but 15 minutes for two not really big tables is really a lot.

The join might return a huge result intermediate set (it's a m-n-join), you can check it using:

SELECT COUNT(*) 
FROM   #TABLE1 AS T1
JOIN   #TABLE2 AS T2 ON T2.EXPORT = T1.EXPORT


Your query can be simplified a bit using a Group Count before the join:

WITH cte AS
 (
   SELECT *, 
      COUNT(*) OVER (PARTITION BY SETID) AS cnt
   FROM #TABLE1
 )
SELECT SETID, COUNTRY
FROM cte
JOIN #TABLE2 AS T2
  ON T2.EXPORT = cte.EXPORT
GROUP BY SETID, COUNTRY
HAVING COUNT(*) = MAX(cte.cnt)
ORDER BY SETID


But I don't expect this to improve runtime (unless the optimizer did a very stupid plan before)

Edit:

As expected, most of the runtime is caused by the huge number (1,500,000,000) of rows in the intermediate result set. For a similar problem (exactly matching two sets) I used a solution based on joining comma-delimited strings of all values in a group (which was very efficient on a Teradata system). This logic can be modified for subsets, but I don't really know about efficiency.

This is the algorithm:

For each country create a comma-delimited list like this:

,FOOD,,GARMENT,,STEEL,,TECHNOLOGY,


For each set create a comma-delimited list like this:

%,GARMENT,%,TECHNOLOGY,%


And then simply join using a LIKE (the additional commas are needed to prevent matching partial values, e.g. 'TECHNO' matching 'TECHNOLOGY'):

WITH cte1 AS
 (
   SELECT SETID, 
      STUFF((SELECT ',%,' + EXPORT 
             FROM  #TABLE1 AS t2
             WHERE t.SETID = t2.SETID 
             ORDER BY EXPORT
             FOR XML PATH('')) + ',%', 1, 1, '') AS x
   FROM #TABLE1 AS t
   GROUP BY setid
 )
,cte2 AS
 (
   SELECT COUNTRY, 
      (SELECT ',' + EXPORT  + ','
       FROM  #TABLE2 AS t2
       WHERE t.COUNTRY = t2.COUNTRY 
       ORDER BY EXPORT
       FOR XML PATH('')) AS x
   FROM #TABLE2 AS t
   GROUP BY COUNTRY
 ) 
SELECT cte1.SETID, cte2.COUNTRY
FROM cte1 JOIN cte2 
ON cte2.x LIKE cte1.x
;