The drift kinetic approximation (DKA) is developed by combining the macro‐ and microdynamics of guiding center plasmas. It is shown that the DKA provides a better description for collisionless processes in plasmas than the Chew–Goldberger–Low approximation. A new theory of the Kelvin–Helmholtz instability (KHI) in collisionless space plasmas is established. Calculations show that the general pattern of the growth rate of the KHI versus flow velocity in the DKA is similar to that in compressional magnetohydrodynamics. However, the critical velocity decreases if pressure is anisotropic, and the growth rate and energy flux are reduced in the presence of wave–particle interactions.