This paper delves into the output feedback control of systems with dual multi‐memoryless channels, where the data packets transmitted from the sensor to the controller (S/C) and from the controller to the actuator (C/A) are suffered from two different multi‐parallel Markovian fading channels. Two new multi‐state Markovian chains are introduced, by which the multiple fading channels system is transformed into a new jumping parameter system. Then a stochastic maximum principle is given along with an optimal state feedback controller for the case that the state is known. When the state is unknown, a Markov jump linear estimator is designed by using the completing square method. In this case, an output feedback controller is obtained by substituting the real system state with its estimation. Meanwhile, the separation principle is shown. Finally, the validity of these methods is verified by simulation examples.