Even though large-scale projects, such as sea-crossing bridges and tunnels, have complex structures and service conditions, the structural health monitoring (SHM) system can comprehensively monitor the stress situation and damage evolution law in the entire construction and service process of such structures. Based on the background of the Hong Kong–Zhuhai–Macao Bridge, this study systematically introduces the overall goal and framework of the SHM system, monitoring content, and sensor information. Moreover, the structural health condition evaluation methods and data analysis methods are presented in detail. Then, on the basis of a multilayer data storage system, a fault-tolerant data center platform design, an open integrated supervision platform design, and other measures, a set of reliable and advanced large-scale software systems are built to achieve the SHM system for the Hong Kong–Zhuhai–Macao Bridge. Finally, the wind characteristics around the Hong Kong–Zhuhai–Macao Bridge and some of the monitored structural responses from the Super Typhoon Mangkhut in 2018 are shown, which verified that the SHM system can accurately and reliably monitor and feedback the environmental load and structural response of the principal parts of the Hong Kong–Zhuhai–Macao Bridge under complicated service environment.