The recent development of aero‐structural optimization methods provides a powerful tool to achieve cost‐effective and safe designs for wind‐sensitive structures. However, pursuing holistic formulations involves adopting many design variables and constraints, which increases the computational burden preventing the application of nonlinear methods for accurately assessing aeroelastic responses. This paper proposes a sequential aero‐structural optimization (SASO) method to improve the efficiency of holistic wind‐resistant design optimization of wind‐sensitive structures. The original problem is uncoupled into two standalone optimization problems: a structural size optimization and an aeroelastic shape optimization, linked by an adaptive mapping surrogate and an outer loop. This strategy permits the design‐space dimensionality reduction and avoids the computation of multiple sensitivities with low influence on the design decisions. A long‐span bridge is successfully optimized. The convergence is drastically accelerated by minimizing the number of aeroelastic evaluations, opening the way to implement nonlinear aeroelastic performance‐based design optimization frameworks.