In this paper, a novel decentralized adaptive state‐feedback design method is proposed for large‐scale stochastic nonlinear systems. Different from the existing results, we consider more practical and more general systems, that is, systems with both unknown covariance and time‐varying powers. When dealing with the unknown time‐varying covariance, we do not need to know its bound, but use the estimator to design an adaptive law function. Then, a new adaptive controller is constructed with the backstepping method to ensure that the closed‐loop system is globally stable in probability, and that the states are regulated to the origin almost surely. Finally, a simulation example is given to illustrate the effectiveness of the design scheme.