This paper numerically investigates the feasibility of an active mass damper (AMD) system using the time delay control (TDC) algorithm, which is one of the robust and adaptive control algorithms, for effectively suppressing the excessive vibration of a building structure under wind loading. Because of its several attractive features such as the simplicity and the excellent robustness to unknown system dynamics and disturbance, the TDC algorithm has the potential to be an effective control system for mitigating the vibration of civil engineering structures such as buildings and bridges. However, it has not been used for structural response reduction yet. In this study, therefore, the active control method combining an AMD system with the TDC algorithm is first proposed in order to reduce the wind-induced vibration of a building structure and its effectiveness is numerically examined. To this end, its stability analysis is first performed; and then, a series of numerical simulations are conducted. It is demonstrated that the proposed active structural control system can effectively reduce the acceleration response of the building structure.