Motion capture for biomechanical applications involves in almost all cases sensors or markers that are applied to the skin of the body segments of interest. This paper deals with the problem of estimating the movement of connected skeletal segments from 3D position data of markers attached to the skin. The use of kinematic constraints has been shown previously to reduce the error in estimated segment movement that are due to skin and muscles moving with respect to the underlying segment. A kinematic constraint reduces the number of degrees of freedom between two articulating segments. Moreover, kinematic constraints can help reveal the movement of some segments when the 3D marker data otherwise are insufficient. Important cases include the human ankle complex and the phalangeal segments of the horse, where the movement of small segments is almost completely hidden from external observation by joint capsules and ligaments. This paper discusses the use of an extended Kalman filter for tracking a system of connected segments. The system is modeled using rigid segments connected by simplified joint models. The position and orientation of the mechanism are specified by a set of generalized coordinates corresponding to the mechanism’s degrees of motion. The generalized coordinates together with their first time derivatives can be used as the state vector of a state space model governing the kinematics of the mechanism. The data collected are marker trajectories from skin-mounted markers, and the state vector is related to the position of the markers through a nonlinear function. The Jacobian of this function is derived. The practical use of the method is demonstrated on a model of the distal part of the limb of the horse. Monte Carlo simulations of marker data for a two-segment system connected by a joint with three degrees of freedom indicate that the proposed method gives significant improvement over a method, which does not make use of the joint constraint, but the method requires that the model is a good approximation of the true mechanism. Applying the method to data on the movement of the four distal-most segments of the horse’s limb shows good between trial consistency and small differences between measured marker positions and marker positions predicted by the model.