Earthworms have no skeleton but during burrowing the anterior end becomes turgid and acts as a hydraulic skeleton. It is due to:

Earthworms have no hard skeleton.
Their body cavity is a true coelom, filled with coelomic fluid and divided into compartments by septa.
The coelomic fluid is incompressible. When the circular and longitudinal muscles of the body wall contract against it, the fluid pressure makes the body segments stiff and turgid.
During burrowing the anterior end becomes turgid in this way and can be pushed into the soil; the fluid thus acts as a hydraulic (hydrostatic) skeleton.
Setae only provide a grip on the soil during locomotion, gut peristalsis moves food, and blood flows in a closed system of vessels; none of these gives turgidity to the body.
So the hydraulic skeleton is due to the coelomic fluid.