In this paper, we propose a new approach to state estimation of multiple state-space models. Unlike the traditional methods (including the interacting multiple-model algorithm) that approximate a Gaussian mixture distribution with a single Gaussian distribution, the proposed method approximates the joint probability density functions of the state and model identity through Bayesian inference. It is shown that the proposed method reduces the approximation error considerably, and improves estimation accuracy without increasing computational cost. Analysis of its specific features as well as a potential extension is also presented. Numerical examples with a practically oriented simulation are employed to illustrate the effectiveness of the proposed method.