To get the accurate identification of time delay in closed-loop control system widely existing in industry processes, a method is presented by using the auto regressive exogenous (ARX) model with high frequency test signals. The mean filtering is applied on the sampled data to eliminate the effects of the colored noise existed in the data. Simulation results show that the proposed method can obtain the system time delay effectively. Furthermore, to evaluate the performance of the proposed method in physical systems, a closed-loop control system of single-tank with obvious time-delay is constructed. The influences of white noise test signals with different frequencies on the identifiability of closed-loop systems are discussed. The results on experimental data show that the proposed method can effectively identify the time delay based on closed-loop data.