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Point set is arguably the most direct approximation of an object or scene surface, yet its practical acquisition often suffers from the shortcoming of being noisy, sparse, and possibly incomplete, which restricts its use for a high-quality surface recovery. Point set upsampling aims to increase its density and regularity such that a better surface recovery could be achieved. The problem is severely ill-posed and challenging, considering that the upsampling target itself is only an approximation of the underlying surface. Motivated to improve the surface approximation via point set upsampling, we identify the factors that are critical to the objective, by pairing the surface approximation error bounds of the input and output point sets. It suggests that given a fixed budget of points in the upsampling result, more points should be distributed onto the surface regions where local curvatures are relatively high. To implement the motivation, we propose a novel design of Curvature-ADaptive Point set Upsampling network (CAD-PU), the core of which is a module of curvature-adaptive feature expansion. To train CAD-PU, we follow the same motivation and propose geometrically intuitive surrogates that approximate discrete notions of surface curvature for the upsampled point set. We further integrate the proposed surrogates into an adversarial learning based curvature minimization objective, which gives a practically effective learning of CAD-PU. We conduct thorough experiments that show the efficacy of our contributions and the advantages of our method over existing ones. Our implementation codes are publicly available at https://github.com/JiehongLin/CAD-PU.