An apparatus and method for setting up a session between devices in a mobile communication system. The method is for setting up a session in a Policy and Charging Rules Function (PCRF) of a mobile communication system that includes a first terminal and a second terminal. The method includes receiving a first message including Internet Protocol (IP)/Port information of the first terminal from a Policy and Charging Enforcement Function (PCEF), receiving a second message including IP/Port information of the first terminal and IP/Port information of the second terminal from a Proxy Call Session Control Function (PCSCF), and setting up a session to the PCEF and a session to the PCSCF, based on the IP/Port information of the first terminal included in the first message and the IP/Port information of the first terminal included in the second message. The first terminal is a mobile terminal and the second terminal is a relay terminal that transmits and receives packet data between the PCEF and the PCSCF.