SETD2, the histone H3 lysine 36 methyltransferase, previously identified by us, plays an important role in the pathogenesis of hematologic malignancies, but its role in myelodysplastic syndromes (MDSs) has been unclear. In this study, low expression of SETD2 correlated with shortened survival in patients with MDS, and the SETD2 levels in CD34+ bone marrow cells of those patients were increased by decitabine. We knocked out Setd2 in NUP98-HOXD13 (NHD13) transgenic mice, which phenocopies human MDS, and found that loss of Setd2 accelerated the transformation of MDS into acute myeloid leukemia (AML). Loss of Setd2 enhanced the ability of NHD13+ hematopoietic stem and progenitor cells (HSPCs) to self-renew, with increased symmetric self-renewal division and decreased differentiation and cell death. The growth of MDS-associated leukemia cells was inhibited though increasing the H3K36me3 level by using epigenetic modifying drugs. Furthermore, Setd2 deficiency upregulated hematopoietic stem cell signaling and downregulated myeloid differentiation pathways in the NHD13+ HSPCs. Our RNA-seq and chromatin immunoprecipitation–seq analysis indicated that S100a9, the S100 calcium-binding protein, is a target gene of Setd2 and that the addition of recombinant S100a9 weakens the effect of Setd2 deficiency in the NHD13+ HSPCs. In contrast, downregulation of S100a9 leads to decreases of its downstream targets, including Ikba and Jnk, which influence the self-renewal and differentiation of HSPCs. Therefore, our results demonstrated that SETD2 deficiency predicts poor prognosis in MDS and promotes the transformation of MDS into AML, which provides a potential therapeutic target for MDS-associated acute leukemia.