External sensors are vulnerable to the external magnetic field, temperature, noise, and other factors in the semi-active control system based on magnetorheological (MR) damper, which not only reduces the reliability and stability but also increases the complexity, installation space, and system cost. Meanwhile, mechanical energy is generally dissipated as heat due to the friction between the cylinder and damper piston of the MR damper. To further broaden the applications of MR damper, it is essential to maintain excellent functions when the power supply is cut off in various emergencies. Based on this, a novel MR damper with displacement self-sensing and energy harvesting capability is proposed to solve the problems such as large structural size, high system cost, and vibration energy dissipation. Firstly, the structures of the MR damping, displacement self-sensing, and vibration energy harvesting are designed and integrated into the proposed MR damper. Then, the distribution of the magnetic flux density, displacement self-sensing voltage, and energy harvesting efficiency with a single induction coil and double induction coil is obtained using the finite element method. The experimental test system is set up and the performance of MR damping, displacement self-sensing voltage, and energy harvesting efficiency is experimentally tested. The experimental results show that the damping force reaches 513 N at the applied current of 0.25 A. At the same time, the amplitude of self-sensing voltage increases linearly with the increase of the amplitude of sinusoidal displacement excitation, and the displacement sensitivity comes up to 54.37 mV/mm. Moreover, the self-sensing voltage of the vibration energy harvesting component with a double induction coil is 2.512 V, and the energy harvesting efficiency is about twice than that with a single induction coil. It is found that the proposed MR damper, with a relatively compact structure and lower cost compared with traditional MR damper, not only promisingly achieves excellent dynamic damping performance but also simultaneously possesses displacement self-sensing ability and energy harvesting capability.