A method for improving power saving performance of a mobile station in an IEEE 802.16e system is provided. The method includes a first process for determining whether a synchronization condition is satisfied, the synchronization condition being that a service connection newly requested to switch to a sleep mode is low QoS insensitive to delay and there are one or fewer service connection that is in a sleep mode and whose connection type is high QoS sensitive to delay among other service connections; a second process of transmitting to a base station a sleep request message for equalizing a start time of a sleep mode of the service connection to a start time of a next sleep interval of a service connection already in the sleep mode, matching a minimum sleep interval of the service connection to the next sleep interval of the service connection already in the sleep mode, and matching a maximum sleep interval of the service connection to a maximum sleep interval of the service connection already in the sleep mode, for sleep-mode synchronization among a plurality of service connections in a mobile station when the synchronization condition is satisfied; and a third process for switching the service connection to a sleep mode indicated by the sleep request message upon receipt of a sleep response message from a base station in response to the sleep request message.