The extended minimum variance unbiased estimation approach can be used for joint state/parameter/input estimation based on the measured structural responses. However, it is necessary to measure the structural displacement and acceleration responses at each story for the simultaneous identification of structural parameters and unknown wind load. A novel method of identifying structural state, parameters, and unknown wind load from incomplete measurements is proposed. The estimation is performed in a modal extended minimum variance unbiased manner, based on incomplete measurements of wind-induced structural displacement and acceleration responses. The feasibility and accuracy of the proposed method are numerically validated by identifying the wind load and structural parameters on a ten-story shear building structure with incomplete measurements. The effects of crucial factors, including sampling duration and the number of measurements, are discussed. Furthermore, the practical application of the developed inverse method is evaluated based on wind tunnel testing results of a 234 m tall building structure. The results indicate that the structural state, parameters, and unknown wind load can be identified accurately using the proposed approach.