This paper presents an explicit time-domain method for sensitivity analysis of structural responses under non-stationary random excitations. Based on time-domain explicit expressions of dynamic responses, a new and more concise time-domain explicit expression of response sensitivity is derived using the direct differentiation method (DDM). Then a more efficient algorithm for direct construction of the explicit expression of response sensitivity is developed based on the physical meanings of the coefficient matrices in the formulation. The adjoint variable method (AVM) is further used to establish the explicit expression of the sensitivity of an arbitrary response. Finally, based on the time-domain explicit expressions for both dynamic response and its sensitivity, an efficient time-domain approach is proposed to calculate the sensitivity of variance responses of a structure subjected to non-stationary random excitations. Numerical examples of different structural systems under non-stationary random excitations are presented to demonstrate the accuracy and efficiency of the proposed method.