This paper is concerned with the pth moment stability of stochastic Grossberg-Hopfield neural networks with time-varying delays and Markovian volatilities. In such neural networks, the feature of stochastic systems, time-varying delay systems, and Markovian switching are taken into account. New conditions ensuring pth moment exponential stability of the considered system are presented by use of Lyapunov method and stochastic analysis theory. Finally, an example is provided to illustrate the effectiveness of the results.