My 535i has regularly gone over 35 mpg (Imperial) on the highway. It is doing 29 mpg (Imperial) with strictly city driving. So, the 35i engine is very capable of better mileage. Just the small matter of all that weight to drag around with the X5.

OP: it will get a lot better after it is broken in, about 3000-5000 miles. Then, variances will be down to driving habits, as that is the biggest variable.

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2007 X3 3.0si, 6 MT, Premium, White

Retired:
2008 535i, 6 MT, M Sport, Premium, Space Grey
2003 X5 3.0 Steptronic, Premium, Titanium Silver
2002 325xi 5 MT, Steel Grey
2004 Z4 3.0 Premium, Sport, SMG, Maldives Blue