Optical speckle is commonly observed in measurements using coherent radiation. While lacking experimental validation, previous work has often assumed that speckle's random spatial pattern follows a Markov process. Here, we present a derivation and experimental confirmation of conditions under which this assumption holds true. We demonstrate that a detected speckle field can be designed to obey the first-order Markov property by using a Cauchy attenuation mask to modulate scattered light. Creating Markov speckle enables the development of more accurate and efficient image post-processing algorithms, with applications including improved de-noising, segmentation and super-resolution. To show its versatility, we use the Cauchy mask to maximize the entropy of a detected speckle field with fixed average speckle size, allowing cryptographic applications to extract a maximum number of useful random bits from speckle images.