In this paper, the tracking problem for discrete-time switched systems subject to actuator saturation and exogenous input is considered. The considered class of systems encompasses discrete-time systems subject to asymmetric saturation or time-varying saturation. Using switched Lyapunov functions and L2-gain analysis, a one-step method is proposed to design the controller and the anti-windup compensator. Some sufficient conditions are derived to guarantee local asymptotic stability and L2-performance of the closed-loop system in terms of linear matrix inequalities (LMI). To illustrate the advantages of the proposed scheme, comparisons with existing schemes are provided. At last, the effectiveness of the proposed scheme is illustrated on the velocity tracking problem of a heavy train with asymmetric saturation constraints.