In structural health monitoring (SHM), most current methods and techniques are based on the assumption of linear models and linear damage. However, the damage in real engineering structures is more characterized by nonlinear behavior, including the appearance of cracks and the loosening of bolts. To solve the structural nonlinear damage diagnosis problem more effectively, this study combines the autoregressive (AR) model and amplitude-aware permutation entropy (AAPE) to propose a data-driven damage detection method. First, an AR model is built for the acceleration data from each structure sensor in the baseline state, including determining the model order using a modified iterative method based on the Bayesian information criterion (BIC) and calculating the model coefficients. Subsequently, in the testing phase, the residuals of the AR model are extracted as damage-sensitive features (DSFs), and the AAPE is calculated as a damage classifier to diagnose the nonlinear damage. Numerical simulation of a six-story building model and experimental data from a three-story frame structure at the Los Alamos Laboratory are utilized to illustrate the effectiveness of the proposed methodology. In addition, to demonstrate the advantages of the present method, we analyzed AAPE in comparison with other advanced univariate damage classifiers. The numerical and experimental results demonstrate the proposed method’s advantages in detecting and localizing minor damage. Moreover, this method is applicable to distributed sensor monitoring systems.