This paper is concerned with the state estimation problem based on non-fragile set-membership filtering for a class of measurement-saturated memristive neural networks (MNNs) with unknown but bounded (UBB) noises, mixed time delays and missing measurements (MMs), subject to cyber-attacks under the framework of weighted try-once-discard protocol (WTOD protocol). Considering bandwidth-limited open networks, this paper proposes an improved set-membership filtering based on WTOD protocol to partially solve the problem that multiple sensor-related problems and multiple network-induced phenomena influence the state estimation performance of MNNs. Moreover, this paper also discusses the gain perturbations of the estimator and proposes an improved non-fragile estimation framework based on set-membership filtering, which enhances the robustness of the estimation approach. The proposed estimation framework can effectively estimate the state of MNNs with UBB noises, estimator gain perturbations, mixed time-delays, cyber-attacks, measurement saturations and MMs. This paper first utilizes mathematical induction to provide the sufficient conditions for the existence of the desired estimator, and obtains the estimator gain by solving a set of linear matrix inequalities. Then, a recursive optimization algorithm is utilized to achieve optimal estimation performance. The effectiveness of the theoretical results is verified by comparative numerical simulation examples.