The present disclosure relates to the field of Internet technology. A data transmission method, apparatus and terminal device of a Wi-Fi network are provided according to the disclosure. The method including: a first terminal device establishes a communication connection with a second terminal device via the UDP protocol; according to the communication connection, the first terminal device establishes a socket connection with the second terminal device; and the first terminal device sends the transmission data to the second terminal device via the socket connection. The disclosure makes it possible that, once terminal devices are within the same Wi-Fi network, the data transmission may be directly performed between the terminal devices, without dependency on the server. Also, as the data transmission process does not need the operations such as identification, adding friends, and so on, the data transmission process is much easier and faster.