Provided are a computer program product, system, and method for archiving data sets in a volume in a primary storage in a volume image copy of the volume in a secondary storage. A volume image in the secondary storage is created comprising a copy of the volume in the primary storage. For each of a plurality of data sets in the volume, data set level archive operations are performed comprising, determining from metadata for the data set whether an archival policy criteria is satisfied, requesting an exclusive lock to the data set, and in response to obtaining the exclusive lock and determining that the archival policy is satisfied, updating a directory for the data set to indicate that the data set is archived in the volume image.