This article studies the adaptive state‐feedback control problem of output‐constrained stochastic high‐order nonlinear systems with stochastic integral input‐to‐state stability (SiISS) inverse dynamics. A key nonlinear transformation function is constructed to convert the original output‐constrained stochastic nonlinear system into an equivalent form without any output constraint. By subtly using the SiISS small‐gain condition and fully extracting the characteristics of system nonlinearities, two new control design and analysis methods are developed to guarantee that the closed‐loop system has an almost surely unique solution, all the closed‐loop signals are bounded almost surely, and the equilibrium point is stable in probability without the violation of output constraint. A simulation result is provided to show the effectiveness of this control method.