If either $x=0$ or $y=0$ the pair is trivially dependent, so assume both are nonzero. Consider the vector $z = \|y\|x - \|x\|y$ and compute its squared norm using bilinearity of the inner product:
\[\|z\|^2 = \langle \|y\|x-\|x\|y,\ \|y\|x-\|x\|y\rangle = \|y\|^2\|x\|^2 - 2\|x\|\|y\|\langle x,y\rangle + \|x\|^2\|y\|^2.\]
Using the given condition $\langle x,y\rangle = \|x\|\|y\|$, substitute:
\[\|z\|^2 = 2\|x\|^2\|y\|^2 - 2\|x\|\|y\|(\|x\|\|y\|) = 2\|x\|^2\|y\|^2 - 2\|x\|^2\|y\|^2 = 0.\]
Since the inner product is positive definite, $\|z\|^2=0$ forces $z=0$, that is $\|y\|x = \|x\|y$. Because $x,y$ are nonzero, this expresses each vector as a positive scalar multiple of the other, so $x$ and $y$ are linearly dependent, and $\{x,y\}$ is a linearly dependent set (dependent nonzero vectors cannot form an orthogonal or orthonormal set).
\[\boxed{\{x,y\} \text{ is a linearly dependent set}}\]