In this paper, we considered the design of gain scheduled controllers for linear systems with saturating actuators. Our basic idea is to design a control that uses higher control gain when the states are smaller, and lower gain when it is higher. By doing this, we can avoid the saturation and we can improve the performance. First, we derive a control and a reachable set expressed as LMI form, which minimizes not only the L$_2$ gain from the disturbance to the measured output but also the control is never saturated within this reachable set. Next, the reachable set is divided as nested subsets, and at each nested subset, the control gain is designed to minimize the L$_2$ gain and it is never saturated. Finally, the control gain is scheduled according to the status of states, i.e., the subset in which the states are located. A numerical example is presented to show that our gain scheduled control significantly improves the performance.