Wind tunnel tests and numerical simulations are the mainstream methods to study the wind-induced vibration of structures. However, few articles use statistical parameters to point out the differences and errors of these two research methods in exploring the wind-induced response of membrane structures. The displacement vibration of a saddle membrane structure under the action of wind load is studied by wind tunnel tests and numerical simulation, and statistical parameters (mean, range, skewness, and kurtosis) are introduced to analyze and compare the displacement data. The most unfavorable wind direction angle is 0° (arching direction). The error between experiment and simulation is less than 10%. The probability density curve has a good coincidence degree. Both the test and simulation show a certain skewed distribution, indicating that the wind-induced vibration of the membrane does not obey the Gaussian distribution. The displacement response obtained by the test has good stability, while the simulated displacement response has strong discreteness. The difference between the two research methods is quantitatively given by introducing statistical parameters, which is helpful to improve the shortcomings of wind tunnel tests and numerical simulations.