A method for establishing a connection includes the following steps: A mobility management entity generates a create bearer context request message and sends the message to a selected serving gateway. The create bearer context request message at least includes address information of at least one packet data network gateway and corresponding indication information of the protocol type of connection establishment. The serving gateway receives and analyzes the create bearer context request message, and determines the protocol type of the connection according to the indication information of the protocol type of connection establishment. The serving gateway processes the create bearer context request message with the determined protocol type of connection. Further provided are a mobility management entity, a serving gateway, and a network system which are able to reduce time delay when connection is established.