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The issue of the reliable exponential H∞ filtering (HF) is revisited for singular Markovian jump time‐delay systems (SMJTSs) accompanied by sensor failures and interval time‐varying delays. By a new mode‐dependent Lyapunov–Krasovskii functional (LKF) containing three augmented nonintegral terms, some mean‐square exponentially admissible (MSEA) conditions satisfying an H∞ performance are derived subject to state decomposition method. On this basis, a novel reliable filter design approach is first proposed for SMJTSs by means of the idea of the state decomposition and recombining. And the filter parameters we want can be obtained. Worth noting that the results presented are not only related to interval time‐varying delay and sensor failure but also to interval delay‐change‐rate. Meanwhile, the sufficient conditions established have less conservatism and lower computational complexity in comparison with the existing results. The effectiveness and superiority of the proposed methods are verified by two numerical examples derived from some existing papers. [ABSTRACT FROM AUTHOR]