A saturation allowed scheduled anti-windup design method is proposed in this paper for the linear systems subject to input saturation. We introduced the scheduled controller design method into the anti-windup scheme, in which a family of controllers are designed. These controllers are activated depending on the response of the system, rather than only considering the worst noise case off-line. Also, the delayed activation scheme is introduced into the scheduled anti-windup mechanism, i.e., the physical actuator is activated when it really need to, and then the most aggressive controller is activated. In this proposed scheme, since the saturation is allowed and no hard constraint is needed to imposed on the controller input, we can makes fuller utilization of the available actuator capacity. The proposed anti-windup scheme provides the system stability and guaranteed peak-to-peak gain. The control strategy is carried out under the scheme of state feedback and the main results are presented in linear matrix inequality forms. The advantage of the proposed saturated allowed scheduling anti-windup scheme against the traditional saturation avoid method is illustrated through a numerical example.