We study the exponential synchronization problem for a class of stochastic competitive neural networks with different timescales, as well as spatial diffusion, time-varying leakage delays, and discrete and distributed time-varying delays. By introducing several important inequalities and using Lyapunov functional technique, an adaptive feedback controller is designed to realize the exponential synchronization for the proposed competitive neural networks in terms of -norm. According to the theoretical results obtained in this paper, the influences of the timescale, external stimulus constants, disposable scaling constants, and controller parameters on synchronization are analyzed. Numerical simulations are presented to show the feasibility of the theoretical results.