AbstractThis paper investigates the Wiener‐Hammerstein system identification with quantized inputs and quantized output observations. By parameterizing the static nonlinear function, system identifiability is discussed first. Then, for the identifiable system a three‐step algorithm is proposed to estimate the unknown parameters by employing the empirical measure‐based method and the quasi‐convex combination technique. Finally, the algorithm is proved to be strongly convergent, the mean‐square convergence rate is presented, and the asymptotic efficiency is given by selecting a suitable transformation matrix. A numerical simulation is included to demonstrate the main results obtained.