SummaryAntidisturbance control problem is discussed for stochastic systems with multiple heterogeneous disturbances, which include the white noise and the disturbance with unknown frequencies and amplitudes. An adaptive disturbance observer is designed to estimate the disturbance with unknown frequencies and amplitudes, based on which, an adaptive disturbance observer‐based control scheme is proposed by combining adaptive technique and linear matrix inequality method. It is proved that the closed‐loop system is asymptotically bounded in mean square when multiple heterogeneous disturbances exist simultaneously and that the equilibrium is globally asymptotically stable in probability as additive disturbance disappears. Finally, two simulation examples, including a wind turbine system, are given to show the effectiveness of the proposed scheme.