In this paper, we consider the martingale Hardy spaces defined with the help of the mixed $$L_{\overrightarrow{p}}$$
L
p
→
-norm. Five mixed martingale Hardy spaces will be investigated: $$H_{\overrightarrow{p}}^{s}$$
H
p
→
s
, $$H_{\overrightarrow{p}}^S$$
H
p
→
S
, $$H_{\overrightarrow{p}}^M$$
H
p
→
M
, $$\mathcal {P}_{\overrightarrow{p}}$$
P
p
→
, and $$\mathcal {Q}_{\overrightarrow{p}}$$
Q
p
→
. Several results are proved for these spaces, like atomic decompositions, Doob’s inequality, boundedness, martingale inequalities, and the generalization of the well-known Burkholder–Davis–Gundy inequality.