Recommender system has become an important component in modern eCommerce. Recent research on recommender systems has been mainly concentrating on improving the relevance or profitability of individual recommended items. But in reality, users are usually exposed to a set of items and they may buy multiple items in one single order. Thus, the relevance or profitability of one item may actually depend on the other items in the set. In other words, the set of recommendations is a bundle with items interacting with each other. In this paper, we introduce a novel problem called the Bundle Recommendation Problem (BRP). By solving the BRP, we are able to find the optimal bundle of items to recommend with respect to preferred business objective. However, BRP is a large-scale NP-hard problem. We then show that it may be sufficient to solve a significantly smaller version of BRP depending on properties of input data. This allows us to solve BRP in real-world applications with millions of users and items. Both offline and online experimental results on a Walmart.com demonstrate the incremental value of solving BRP across multiple baseline models.