This article is concerned with the problem of compensation-based output feedback control for Takagi–Sugeno fuzzy Markov jump systems subject to packet losses. The phenomenon of packet losses is assumed to randomly occur in the feedback channel, which is modeled by a Bernoulli process. Employing the single exponential smoothing method as a compensation scheme, the missing measurements are predicted to help offset the impact of packet losses on system performance. Then, an asynchronous output feedback controller is designed by the hidden Markov model. Based on the mode-dependent Lyapunov function, some novel sufficient conditions on the controller existence are derived such that the closed-loop system is stochastically stable with strict dissipativity. Besides, an algorithm for determining the optimal smoothing parameter is proposed. Finally, the validity and advantages of the design approach are manifested by some simulation results.