The nonlinear effects exhibited by structures under the action of wind loads have gradually stepped into the vision of wind-resistant researchers. By summarizing the prominent wind-induced nonlinear problems of four types of wind-sensitive structures, namely tall buildings, high-rise structures, flexible bridges, and transmission lines, the occurrence mechanism of their nonlinear effects is revealed, providing cutting-edge research progress in theoretical studies, experimental methods and vibration control. Aerodynamic admittance provides insights into the aerodynamic nonlinearity (AN) between the wind pressure spectrum and wind speed spectrum of tall building surfaces. The equivalent nonlinear equation method is used to solve nonlinear vibration equations with generalized van-der-Pol-type aerodynamic damping terms. The elastic–plastic finite element method and multiscale modeling method are widely employed to analyze the effects of geometric nonlinearity (GN) and material nonlinearity (MN) at local nodes on the wind-induced response of latticed tall structures. The AN in blunt sections of bridges arises from the amplitude dependence of the aerodynamic derivative and the higher-order term of the self-excited force. Volterra series aerodynamic models are more suitable for the nonlinear aerodynamic modeling of bridges than the polynomial models studied more in the past. The improved Lindstedt–Poincare perturbation method, which considers the strong GN in the response of ice-covered transmission lines, offers high accuracy. The complex numerical calculations and nonlinear analyses involved in wind-induced nonlinear effects continue to consume significant computational resources and time, especially for complex wind field conditions and flexible and variable structural forms. It is necessary to further develop analytical, modeling and identification tools to facilitate the modeling of nonlinear features in the future.