The theory of integration to mathematical analysis is so important that many mathematicians continue to developed new theory to enlarge the class of integrable functions and simplify the Lebesgue theory integration. In this paper, by slight modifying the definition of theHenstockintegral which was introduced by Jaroslav Kurzweil and RalphHenstock, we present a new definition of integral on fractal sets. Furthermore, its integrability has been discussed, and the relationship between differentiation and integral is also established. As an example, the integral of Cantor function on Cantor set is calculated.