This paper investigates the state estimation problem of uncertain neutral delay systems with Markovian jumping parameters. First, a novel Lyapunov–Krasovskii (L–K) functional containing the interconnected information between neutral and discrete delay is proposed. Then, based on Jensen’s integral and Wirtinger-based inequality, the obtained results are improved by relaxing the positive-definiteness restrictions on Lyapunov matrices. Third, the state estimators are designed to guarantee the asymptotic stability of the error state system. Finally, numerical examples are provided to show the effectiveness of the proposed results.