Owing to the complex nonlinear hysteresis of magnetorheological (MR) damper, the modeling of an MR damper is an issue. This paper examines a novel MR damper hysteresis model based on the grey theory, which can fully mine the internal laws for the data with small samples and poor information. To validate the model, the experiment is conducted in the MTS platform, and then the experimental results are compiled to identify the model parameters. Considering the complexity of the grey model and its inverse model solution, the grey model is simplified in two ways based on the grey relational analysis method. Furthermore, the simplified grey model compares to other models to prove the superiority of the grey model. The analysis suggests the fitting results correspond to the measured results, and the mean relative error (MRE) of grey model is within 2.04%. After the grey model is simplified, its accuracy is slightly reduced, while its inverse model is easier to solve and makes a unique solution. Finally, compared with the polynomial and Bouc-Wen model, the novel model with fewer identification parameters has high accuracy and predictive ability. This novel model has fabulous potential in designing the control strategy of MR damper.