She set off for Paris.

Literal

She [topic-は] Paris [toward-へ] departed.

出発する ('to depart, set off') is a Sino-Japanese verb specifically about setting out from a starting point — the inverse of 到着する ('to arrive'). へ marks the direction of motion, often interchangeable with に for destinations but with a slight directional/aspirational nuance: へ emphasizes 'toward,' while に emphasizes 'arrive at.' For a departure verb like 出発する, へ aligns naturally with the outward-bound feel.