The embodiment of the present invention provides a method for establishing P2P connection, comprising the steps of: a first terminal initiating connection sends a message to a second terminal to be connected, wherein the message contains the address of the first terminal; the second terminal reads the address of the first terminal initiating connection upon receiving the message, and initiates a P2P connection to the address of the first terminal. The embodiment of the present invention also provides another method for establishing P2P connection, through which both UDP P2P connection and TCP P2P connection can be established. Through the methods provided by the embodiments of the present invention, the terminal to be connected may initiate P2P connection, hence a P2P connection can be initiated by both ends of the connection; furthermore, a P2P connection can be established by using multiple policies through the multiple policy P2P connection establishment method provided by the embodiment of the present invention, thus the P2P connection rate is improved.