The Dempster–Shafer (D–S) theory of evidence is introduced to improve fuzzy inference under the complex stochastic environment. The Dempster–Shafer based fuzzy set (DFS) is first proposed, together with its union and intersection operations, to capture the principal stochastic uncertainties. Then, the fuzzy inference will be modified based on the extensional Dempster rule of combination. This new approach is able to capture the stochastic disturbance acting on fuzzy membership function, and provide a more effective inference under strong stochastic uncertainty. Finally, the numerical simulation and the experimental prediction of the wind speed are conducted to show the potential of the proposed method in stochastic modeling.