The Kelvin–Helmholtz instability on the interface of two magnetized compressible fluids with tangential discontinuity is studied in two situations. For a sharp interface, the stability conditions of the surface with tangential discontinuity is investigated. It is shown that in this case magnetohydrodynamic modes such as Alfvén and the magnetosonic waves can propagate. When a transition layer exists between two fluids and the density and magnetic field change across this layer, numerical solutions show that the increase of the Mach number and compressibility has a destabilizing effect while the magnetic field and density increase has a stabilizing effect.