The dynamics of beams equipped with tuned mass dampers is of considerable interest in engineering applications. Here, the purpose is to introduce a comprehensive framework to address the stochastic response of the system under stationary and nonstationary loads, considering inertia effects along the spring of every tuned mass damper applied to the beam. For this, the key step is to show that a tuned mass damper with spring inertia effects can be reverted to an equivalent external support, whose reaction force on the beam depends only on the deflection of the attachment point. On this basis, a generalized function approach provides closed analytical expressions for frequency and impulse response functions of the system. The expressions can be used for a straightforward calculation of the stochastic response, for any number of tuned mass dampers. Numerical results show that spring inertia effects may play an important role in applications, affecting considerably the system response.