Context. High-mass microquasars consist of a massive star and a compact object, the latter producing jets that will interact with the stellar wind. The evolution of the jets, and ultimately their radiative outcome, could depend strongly on the inhomogeneity of the wind, which calls for a detailed study. Aims. The hydrodynamics of the interaction between a jet and a clumpy wind is studied, focusing on the global wind-and single clump-jet interplay. Methods. We have performed, using the code Ratpenat, three-dimensional numerical simulations of a clumpy wind interacting with a mildly relativistic jet, and of individual clumps penetrating into a jet. Results. For typical wind and jet velocities, filling factors of about > ∼ 0.1 are already enough for the wind to be considered as clumpy. An inhomogeneous wind makes the jet more unstable when crossing the system. Kinetic luminosities ∼10 37 erg/s allow the jet to reach the borders of a compact binary with an O star, as in the smooth wind case, although with a substantially higher degree of disruption. When able to enter into the jet, clumps are compressed and heated during a time of about their size divided by the sound speed in the shocked clump. Then, clumps quickly disrupt, mass-loading and slowing down the jet. Conclusions. We conclude that moderate wind clumpiness makes already a strong difference with the homogeneous wind case, enhancing jet disruption, mass-loading, bending, and likely energy dissipation in the form of emission. All this can have observational consequences at high-energies and also in the large-scale radio jets.