This article is mainly focusing on the approximate controllability of neutral integro‐differential stochastic equations with state‐dependent delay. The main results of this article are proved by applying some ideas about the semigroup theory and resolvent operators. At first, the investigation about the existence of a mild solution and then we discuss the approximate controllability of the considered system. Next, we extend our study to the system with non‐local conditions. Finally, a theoretical application is presented for proving the validity of controllability results obtained.