A cable stayed bridge under construction has low structural damping and is not as stable as the completed bridge. Control countermeasures, such as the installation of energy dissipating devices, are thus required. In this study, the general procedure and key issues on adopting an active control device, the active mass damper (AMD), for vibration control of cable stayed bridges under construction were studied. Taking a typical cable stayed bridge as the prototype structure; a lab-scale test structure was designed and fabricated firstly. A baseline FEM model was then setup and updated according to the modal parameters measured from vibration test on the structure. A numerical study to simulate the bridge-AMD control system was conducted and an efficient LQG-based controller was designed. Based on that, an experimental implementation of AMD control of the transverse vibration of the bridge model was performed. The results from numerical simulation and experimental study verified that the AMD-based active control was feasible and efficient for reducing dynamic responses of a complex structural system. Moreover, the discussion made in this study clarified some critical problems which should be addressed for the practical implementation of AMD control on real cable-stayed bridges.