Data-driven damage identification based on measurements of the structural health monitoring (SHM) system is a hot issue. In this study, based on the intrinsic mode functions (IMFs) decomposed by the empirical mode decomposition (EMD) method and the trend term fitting residual of measured data, a structural damage identification method based on Mahalanobis distance cumulant (MDC) was proposed. The damage feature vector is composed of the squared MDC values and is calculated by the segmentation data set. It makes the changes of monitoring points caused by damage accumulate as “amplification effect,” so as to obtain more damage information. The calculation method of the damage feature vector and the damage identification procedure were given. A mass-spring system with four mass points and four springs was used to simulate the damage cases. The results showed that the damage feature vector MDC can effectively identify the occurrence and location of the damage. The dynamic measurements of a prestress concrete continuous box-girder bridge were used for decomposing into IMFs and the trend term by the EMD method and the recursive algorithm autoregressive-moving average with the exogenous inputs (RARMX) method, which were used for fitting the trend term and to obtain the fitting residual. By using the first n-order IMFs and the fitting residual as the clusters for damage identification, the effectiveness of the method is also shown.