We consider measure functional differential equations (we write measure FDEs) of the form Dx=f(xt,t)Dg, where f is Perron–Stieltjes integrable, xt is given by xt(θ)=x(t+θ),θ∈[−r,0], with r>0, and Dx and Dg are the distributional derivatives in the sense of the distribution of L. Schwartz, with respect to functions x:[t0,∞)→double-struckRn and g:[t0,∞)→R, t0∈R, and we present new concepts of stability of the trivial solution, when it exists, of this equation. The new stability concepts generalize, for instance, the variational stability introduced by Š. Schwabik and M. Federson for FDEs and yet we are able to establish a Lyapunov‐type theorem for measure FDEs via theory of generalized ordinary differential equations (also known as Kurzweil equations).