The Indo-Greek kingdom set up in north Afghanistan in the beginning of the second century BC was Bactria.

Bactria was a historical region located in present-day northern Afghanistan and parts of Tajikistan, Uzbekistan, and Turkmenistan. After the conquests of Alexander the Great, Bactria became a Greek kingdom and later came under the rule of various Indo-Greek kings. These Indo-Greek rulers, of Greek descent but adopting Indian culture and religion, established their capital in Bactria and extended their influence into neighboring regions.

So, the correct answer is option A: Bactria.