In the context of acousto-ultrasonic guided wave-based structural health monitoring, a statistical damage detection and identification (collectively referred to as damage diagnosis) framework for metallic and composite materials is proposed. Stochastic stationary time-series autoregressive (AR) models are used to model the ultrasonic wave propagation between piezoelectric actuator-sensor pairs on structural components and enable the damage diagnosis process via the use of the AR estimated parameters and corresponding covariance matrices. The proposed method exploits guided wave signals including the reflection parts, and thus the extraction of the S0 and/or A0 modes is not necessary, while the statistical properties and variation of estimated model parameters with respect to damage intersecting and non-intersecting wave propagation paths are presented and assessed. To investigate the method’s performance and robustness, two variations are proposed based on the singular value decomposition and principal component analysis. The obtained modified AR parameter vectors are then used to estimate appropriate statistical characteristic quantities used to enable the damage detection and identification tasks. The diagnosis is based on properly defined statistical hypotheses decision-making schemes and predetermined type I error probabilities. The performance and applicability of the method are explored experimentally via a series of tests on aluminum and composite coupons under various damage scenarios for damage intersecting and non-intersecting paths. The results of the present study demonstrated the effectiveness and robustness of the proposed modeling and diagnostic framework for guided wave-based damage diagnosis that can be implemented in a potentially automated way.