Complex high-rise steel structures can be partitioned into layered substructures, and sensors installed at each interstory level can be used to monitor damage in the corresponding substructure layer. To address the problem of damage detection in complex high-rise steel structures, a damage identification method based on the impact information transformation index derived from a vector error correction model (VECM) is proposed. First, the fundamental theory of the VECM is introduced, including the basic procedures for model order determination, cointegration testing, and parameter estimation. Subsequently, the damage-related characteristic parameters of the VECM are analyzed. By examining the impact matrix, the damage characteristic impact vector is extracted. Using the characteristic impact parameters and statistical parameters under both the undamaged baseline state and the damaged state of the structure, an impact information distance is constructed. Furthermore, the degree-of-freedom information at the measurement points is transformed into interstory stiffness information to establish the impact information transformation index. On this basis, a complete damage detection methodology and identification procedure for high-rise steel structures is developed, including data acquisition, VECM modeling, extraction of the damage characteristic impact vector, and damage identification based on the impact information transformation index. Finally, experimental studies are conducted on a classical three-story frame structure and a high-rise relay tower model. Non-stationary time-domain excitations are applied to the structures using an excitation device to obtain time-history response data. Damage detection is then performed by comparing structural responses before and after damage. The results show that the traditional cepstral distance–based detection index exhibits certain effectiveness for simple frame structures but performs inadequately for complex high-rise steel structures. In contrast, the proposed VECM-based impact information transformation index demonstrates superior detection performance and can more effectively identify damage locations in high-rise steel structures.