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Somebody told me that ZF without the axiom of infinity has no transitive sets. Probably it depends on the definition/axiom of the `emptyset' $\emptyset$? The sets $\emptyset$ and $\{\emptyset\}$ are transitive, is it?

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Maybe what they meant is that we cannot prove that there are inductive sets, or infinite transitive sets. The finite ordinals can all be constructed in $T=\mathsf{ZF}-\textrm{Infinity}$, and they are all transitive.

That said, whether we can prove in $T$ that every set (or even any hereditarily finite set) admits a transitive closure depends on how precisely we axiomatize the theory $T$. See here, and the references I give there, showing that a naive axiomatization of $T$ does not prove this.