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An effective approach to exploiting statistical differences between desired and jamming signals named adaptive robustness is proposed and analyzed in this paper. It combines conventional Bayesian, adaptive, and robust approaches that are complementary to each other. This combining strengthens the advantages and mitigates the drawbacks of the conventional approaches. Adaptive robustness is equally applicable to both jammers and their victim systems. The capabilities required for realization of adaptive robustness in jammers and victim systems are determined. The employment of a specific nonlinear robust algorithm for anti-jam (AJ) processing is described and analyzed. Its effectiveness in practical situations has been proven analytically and confirmed by simulation. Since adaptive robustness can be used by both sides in electronic warfare, it is more advantageous for the fastest and most intelligent side. Many results obtained and discussed in this paper are also applicable to commercial applications such as communications in unregulated or poorly regulated frequency ranges and systems with cognitive capabilities.