With the widespread application of large language models (LLMs), the issue of generating non-existing facts, known as hallucination, has garnered increasing attention. Previous research in enhancing LLM confidence estimation mainly focuses on the single problem setting. However, LLM awareness of its internal parameterized knowledge boundary under the more challenging multi-problem setting, which requires answering multiple problems accurately simultaneously, remains underexplored. To bridge this gap, we introduce a novel method, Multiple Answers and Confidence Stepwise Tuning (MAC-Tuning), that separates the learning of answer prediction and confidence estimation during fine-tuning on instruction data. Extensive experiments across various base models and different model sizes demonstrate that our method proposed outperforms baselines by up to 25% in average precision.