Published version of an article from the journal: Mathematical Problems in Engineering. Also available from Hindawi: http://dx.doi.org/10.1155/2013/146325 ; This paper addresses the H-infinity filtering problem for discrete fuzzy stochastic systems with time-varying delay and sensor saturation. Random noise depending on state and external disturbance is also taken into account. A decomposition approach is employed to solve the characteristic of sensor saturation. The scaled small gain (SSG) theorem is extended to the stochastic systems, which is employed to handle with the time-varying delay by transforming the original system into the form of an interconnected system consisting of two subsystems. By the proposed Lyapunov-Krasovskii function, the scaled small gains of the subsystems are analyzed, respectively. Sufficient conditions for the stochastic stability of the filtering error system with a prescribed H-infinity level are established such that the gains of the H-infinity filter can be obtained explicitly. Finally, simulation results are presented to demonstrate the effectiveness of the proposed approach.