Sidelnikov sequences, a kind of cyclotomic sequences with many desired properties such as low correlation and variable alphabet sizes, can be employed to construct a polyphase sequence family that has many applications in high-speed data communications. Recently, cyclotomic numbers have been used to investigate the linear complexity of Sidelnikov sequences, mainly about binary ones, although the limitation on the orders of the available cyclotomic numbers makes it difficult. This paper continues to study the linear complexity over$\mathbb {F}_{M}$of$M$-ary Sidelnikov sequence of period$q-1$using Hasse derivative, which implies$q=p^{m}$,$m\geq 1$and$M|(q-1)$. The$t$th Hasse derivative formulas are presented in terms of cyclotomic numbers, and some upper bounds on the linear complexity for$M=2$and 3 are obtained only with some additional restrictions on$q$. Furthermore, concrete illustrations for several families of these sequences, such as$q\equiv 1\pmod {2}$and$q\equiv 1\pmod {3}$, show these upper bounds are tight and reachable; especially for$q=2\times 3^{\lambda }+1 (1\leq \lambda \leq 20)$, the exact linear complexities over$\mathbb {F}_{3}$of the ternary Sidelnikov sequences are determined; and it turns out that all the linear complexities of the sequences considered are very close to their periods.