This paper investigates the H∞ filtering problem for a class of linear continuous-time systems with both time delay and saturation. Such systems have time delay in their state equations and saturation in their output equations, and their process and measurement noises have unknown statistical characteristics and bounded energies. Based on the Lyapunov-Krasovskii stability theorem and the linear matrix inequalities (LMIs) technique, a generalized dynamic filter architecture is proposed, and a filter design method is developed. The linear H∞ filter designed by the method can guarantee the H∞ performance. The parameters of the designed filter can be obtained by solving a kind of LMI. An illustrative example shows that the design method proposed in this paper is very effective. This paper investigates the H∞ filtering problem for a class of linear continuous-time systems with both time delay and saturation. Such systems have time delay in their state equations and saturation in their output equations, and their process and measurement noises have unknown statistical characteristics based on the Lyapunov-Krasovskii stability theorem and the linear matrix inequalities (LMIs) technique, a generalized dynamic filter architecture is proposed, and a filter design method is developed. The linear H∞ filter designed by the method can guarantee the H∞ performance. The parameters of the designed filter can be obtained by solving a kind of LMI. An illustrative example shows that the design method proposed in this paper is very effective.