This paper investigates the exponential stability in mean square sense for a class of stochastic switched semi‐Markov jump systems (ssSMJS). In this model, a hierarchical control switched regulation is designed, considering the external stochastic disturbances and generally uncertain transition rates (TRs) of the entire system and making the system more general and practical. By using appropriate Lyapunov–Krasovskii functional, linear matrix inequality, Jensen inequality, and mode‐dependent average dwell time (MDADT), sufficient conditions on the exponential stability in mean square sense for ssSMJS are derived. Furthermore, a nonfragile state feedback controller is designed. Finally, two numerical examples are provided to demonstrate the effectiveness of the proposed criterion.