Time series models have been used to extract damage features in the measured structural response. In order to better extract the sensitive features in the signal and detect structural damage, this paper proposes a damage identification method that combines empirical mode decomposition (EMD) and Autoregressive Integrated Moving Average (ARIMA) models. EMD decomposes nonlinear and non-stationary signals into different intrinsic mode functions (IMFs) according to frequency. IMF reduces the complexity of the signal and makes it easier to extract damage-sensitive features (DSF). The ARIMA model is used to extract damage sensitive features in IMF signals. The damage sensitive characteristic value of each node is used to analyze the location and damage degree of the damaged structure of the bridge. Considering that there are usually multiple failures in the actual engineering structure, this paper focuses on analysing the location and damage degree of multi-damaged bridge structures. A 6-meter-long multi-destructive steel-whole vibration experiment proved the state of the method. Meanwhile, the other two damage identification methods are compared. The results demonstrate that the DSF can effectively identify the damage location of the structure, and the accuracy rate has increased by 22.98% and 18.4% on average respectively.