The wavelet analysis was applied to structural wind engineering field, and a method to identify the aerodynamic damping ratio of a tall building was introduced, which is applicable to SDOF aero-elastic models as well as MDOF aero-elastic models of tall buildings. The wind tunnel data of a MDOF aero-elastic model of a tall building were analyzed with the improved random decrement technique (IRDT), and the random decrement signatures (RDS) of the top acceleration in the directions of along wind and across wind were both acquired. Subsequently, the complex Morlet wavelet transform was performed on the RDS and the aerodynamic damping ratios of the first vibration mode of the tall building in the directions of along wind and across wind were both calculated. The rule for its variation was also concluded.