The other answer has covered the formal aspects. I will argue that with the right mental model, the axiom of infinity is 'self-evident'.

(I use scare quotes, because I believe the phrase 'self-evident' is merely an intensifier rather than something meaningful)

Set theory, as applied to foundations, is not about 'collecting' objects together — it is about doing logic. This manifests most strongly by looking at the axioms of extensions and comprehension, together with the construction of the third bullet

• S and T are the same set if and only if x∈S holds precisely when x∈T holds
• If Φ is any proposition, there is a set S_Φ with the property that x satisfies Φ if and only if x∈S_Φ
• If S is a set, then x∈S is a proposition that x may satisfy

Thus, the notions of set and proposition are just different ways of talking about the same thing.

(aside: this correspondence is somewhat spoiled by the fact unrestricted comprehension leads to paradoxes, but even that parallels the problems that logic has with the liar's paradox. But both set theory and logic have developed to deal with these glitches)

Thus, the very fact one finds "x is a natural number" to be a meaningful proposition one can ask of an object makes it evident that there is a corresponding set — and we call that set the set of natural numbers.

The other answer has covered the formal aspects. I will argue that with the right mental model, the axiom of infinity is 'self-evident'.

(I use scare quotes, because I believe the phrase 'self-evident' is merely an intensifier rather than something meaningful)

Set theory, as applied to foundations, is not about 'collecting' objects together — it is about doing logic. This manifests most strongly by looking at the axioms of extensions and comprehension, together with the construction of the third bullet

• S and T are the same set if and only if x∈S holds precisely when x∈T holds
• If Φ is any proposition, there is a set S_Φ with the property that x satisfies Φ if and only if x∈S_Φ
• If S is a set, then x∈S is a proposition that we can ask if x satisfies

Thus, the notions of set and proposition are just different ways of talking about the same thing.

(aside: this correspondence is somewhat spoiled by the fact unrestricted comprehension leads to paradoxes, but even that parallels the problems that logic has with the liar's paradox. But both set theory and logic have developed to deal with these glitches)

Thus, the very fact one finds "x is a natural number" to be a meaningful proposition one can ask of an object makes it evident that there is a corresponding set — and we call that set the set of natural numbers.

You may be interested in looking at type theory as a variation on the theme that tends to be developed more along the lines of formal logic.