Cross sections for the process $e^{+} e^{-} \to K_{S}^{0} K_{S}^{0} J/\psi$ at center-of-mass energies from $4.128$ to $4.950$ GeV are measured using data samples with a total integrated luminosity of 21.2 fb$^{-1}$ collected by the BESIII detector operating at the BEPCII storage ring. The $Y(4230)$ state is observed in the energy dependence of the $e^{+} e^{-} \to K_{S}^{0} K_{S}^{0} J/\psi$ cross section for the first time with a statistical significance of 26.0$\sigma$. In addition, an enhancement around $4.710$ GeV, called the $Y(4710)$, is seen with a statistical significance of 4.2$\sigma$. There is no clear structure around $4.484$ GeV. Using a fit with a coherent sum of three Breit-Wigner functions, we determine the mass and width of the $Y(4230)$ state to be $4226.9 \pm 6.6 \pm 21.9$ MeV/$c^{2}$ and $71.7 \pm 16.2 \pm 31.4$ MeV, respectively, and the mass and width of the $Y(4710)$ state to be $4704.0 \pm 52.3 \pm 69.5$ MeV/$c^{2}$ and $183.2 \pm 114.0 \pm 90.8$ MeV, respectively, where the first uncertainties are statistical and the second are systematic. In addition, the average Born cross section ratio of $e^{+} e^{-} \to K_{S}^{0} K_{S}^{0} J/\psi$ to $e^{+} e^{-} \to K^{+} K^{-} J/\psi$ is measured to be $0.388_{-0.028}^{+0.035}\pm0.016$, or $0.426_{-0.031}^{+0.038}\pm0.018$ if three-body phase space is considered.
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