Embodiments of the present invention relate to a data connection establishment method, a server, and a mobile terminal. After receiving a connection request sent by a first client, a server determines whether a connection to a second client belonging to a same local area network with the first client has already been established; if yes, the server returns, to the first client, a reply message used to instruct the first client to establish a connection to the second client; and disconnects from the first client after the connection between the first client and the second client is established.