In this study, the mean square consensus problem for stochastic multi-agent systems with nonlinear protocols is concerned. In particular, the topological structure of the system is characterised by state-dependent directed graph, in which the edges are described by nonlinear function related to the states and possess much better performance than before. A novel proposition based on matrix theory is proposed to conquer the challenges of time-invariant asymmetric matrix. In view of the communication burden and practically, a time-dependent event-triggered strategies are explored, where the control input on each agent is updated only when a certain triggering condition is violated. Then, some sufficient conditions for mean square consensus of stochastic multi-agent with state-dependent topology are established. Furthermore, a positive lower bound for inter-event times can be found such that the Zeno phenomenon is eliminated. Finally, a simulation example is utilised to illustrate the validly of developed theoretical results and the effectiveness of the control protocol.