We consider an analytic iterative method to approximate the solution of the backward stochastic differential equation of general type. More precisely, we define a sequence of approximate equations and give sufficient conditions under which the approximate solutions converge with probability one and in pth moment sense, p ≥ 2, to the solution of the initial equation under Lipschitz condition. The Z-algorithm for this iterative method is introduced and some examples are presented to illustrate the theory.