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In this paper, a novel iterative two-stage dual heuristic programming (DHP) is proposed to solve the optimal control problems for a class of discrete-time switched nonlinear systems subject to actuators saturation. First, a novel nonquadratic performance functional is introduced to confront control constraints of the saturating actuator. Then, the iterative two-stage DHP algorithm is developed to solve the Hamilton-Jacobi-Bellman (HJB) equation of the switched system with the saturating actuator. Moreover, the convergence and optimality of the two-stage DHP algorithm are strictly proven. To implement this algorithm efficiently, there are two neural networks used as parametric structure to approximate the costate function and the corresponding control law, respectively. Finally, simulation results are given to verify the effectiveness of the proposed algorithm.