Anti-disturbance control problem is studied for a class of stochastic systems with multiple disturbances. A stochastic adaptive disturbance observer is constructed to estimate the disturbance which can be generated by a linear exogenous system with unknown parameter, and it can represent unknown frequency, amplitude and initial phase. Based on this, a disturbance observer-based anti-disturbance control scheme is proposed by combining adaptive control and stochastic control. It is guarantee that all the signals in the composite system are asymptotically bounded in mean square. Finally, simulation example is given to demonstrate the correctness and effectiveness of the proposed method.