This article proposes a novel Nash game‐theoretical optimal adaptive robust control design approach to address the constraint‐following control problem for the uncertain underactuated mechanical systems with fuzzy evidence theory. First, the uncertainty is considered bounded and the bound is unknown but lies in a specified fuzzy evidence number. Second, a deterministic adaptive robust control scheme is proposed based on the servo constraint following control method, which renders the uncertain underactuated mechanical system to follow the specified constraints accurately with deterministic performance (guarantee uniform boundedness and uniform ultimate boundedness). It is shown that the designed self‐adjusting leakage‐type adaptive law can compensate for the uncertainty and avoid overcompensation. Third, based on the performance analysis and the fuzzy evidence description of uncertainty, the Nash game theory is introduced into the multi‐parameter optimization design for the two tunable control gains selected as two players. The cost functions for two players are relevant to the system constraint‐following performance and control cost. Then we can obtain the optimal control gains by seeking the Nash equilibrium which is always proved to exist. Ultimately, the simulation results on the two‐wheeled self‐balancing robot demonstrate the availability of the proposed control scheme and the optimal design approach for the underactuated mechanical systems with uncertainties.