Lately, due to its importance, the banking sector is being analysed for its efficiency by individual countries, through modern economic and mathematical methods and models. This applies to the banking sector in Serbia, as well. The paper analyses the 2016 efficiency of the banking sector in the Republic of Serbia using the DEA (Data Envelopment Analysis) model. The obtained results of the survey conducted on 30 banks show that only eight banks operated at a satisfactory efficiency level, whereas twenty-two banks were inefficient. Considering the 91.2% share of banks in the total balance sheet amount, which, at the end of 2016 amounted to RSD 3.556 billion, one can conclude that the structure of Serbian financial system remains highly bank-centric and that primarily banks dictate the overall economic activity and development directions. Consequentially, raising the efficiency level of banking operations in Serbia will imply better performance of the entire financial system. Therefore, the primary objective of the banking sector in the future period should be to increase the efficiency of operations, especially in the case of inefficient banks. This can be achieved through a more efficient management over assets and liabilities, human resources, equity, operating income and profit. Moreover, we need a more efficient cost management, achieved by using modern concepts (like cost accounting by activities), as well as a higher quality human resources management.