The middle ages occurred between 500 and 1500 AD. If you're looking for medieval chess set pieces you might actually be looking for styles that were developed in this time period. However, there are also medieval chess sets that are actually themed sets which are not actually based on styles designed during the middle ages. The latter is the more popular.
One of the most well known sets today are the Isle of Lewis pieces. These were chess pieces in the middle ages. Although the middle ages can be divided into three periods of time.
Early Middle Ages 500 - 1000 AD
High Middle 1000 - 1200 AD
Late Middle Ages 1200 - 1500
During the early middle ages there were many Muslim conquests had conquered much of the middle east. In this area they would still be using the Islamic influenced style pieces. This is also the period in which the mythological King Arthur period would have existed.
During the high middle ages were the Crusades as well as the Gothic architecture. It's during this period that gothic chess pieces would have been designed. It's also during this time period that the Isle of Lewis chess men were though to have been designed.
The late middle ages is well known for the Hundred Years War and the Black Death. Pieces such as the Calvert Style and Staunton style would not come for a few hundred more years
It was during the middle ages that chess spread across Europe, Asia, and Africa. Eventually nations such as France, Russia, and Italy all adapted their own styles. Each culture designed pieces in their own way.
Some people are looking for medieval themed chess sets. Themed sets may be labeled as Excalibur or King Arthur. These kinds of
sets are available also but keep in mind that these are not based on actual medieval styles.