A method and apparatus for setting up a relay link to transfer a data frame using a relay in a wireless communication system are provided. The relay link setup method of a source STA in a wireless communication system may include receiving capability information of at least one relay supporting station included in the wireless communication system from an access point (AP) or a personal basic service set (PBSS) central point (PCP), selecting one of the at least one relay supporting station as a relay station, using beam forming information among the source station, a destination station, and the at least one relay supporting station and the capability information, transferring a relay link setup request frame to the destination station, and receiving a relay link setup response frame that includes information on a relay link setup result from the destination station. The relay link setup request frame and the relay link setup response frame may pass through the relay station.