This paper investigates the problem of secure and asynchronous filtering for a class of piecewise homogeneous Markov jump systems. The transition probability in the systems is time-varying and dependent on a higher-level Markov Chain. In addition to quantization, the Round-Robin protocol, by which the sensor nodes are allowed to gain access to the network in a fixed order, is taken into account for bandwidth saving. It is assumed that deception attacks exist in the communication channels of the network, and are unknown but energy bounded. With the help of a hidden Markov model, an asynchronous filtering system is established. Then, a filter is designed such that the filtering error dynamics is mean square stable with a prescribed H∞ performance index. Two examples are given to demonstrate the effectiveness of the new design method developed.