Using a T–S fuzzy model, we propose a formulation for a moving horizon H∞ control problem for nonlinear systems. Our main contribution is combination of T–S fuzzy models and a moving horizon H∞ control scheme by Chen and Scherer to address the disturbance attenuation of nonlinear constrained system. A sufficient condition for the disturbance amplitude is given to guarantee the feasibility of the optimization problem at each time. A parameter-dependent state feedback control law is adopted, and the corresponding optimization problem is reduced to a convex optimization problem involving linear matrix inequalities (LMIs). The H∞ attenuation index for the nonlinear moving horizon H∞ control problem is adapted online to satisfy time-domain constraints. Finally, the effectiveness of the proposed scheme is successfully demonstrated by control of a continuous stirred tank reactor and active queue management for routers.