This paper presents a new approach for automatical classification of structural state through deep learning. In this work, a Convolutional Neural Network (CNN) was designed to fuse both the feature extraction and classification blocks into an intelligent and compact learning system and detect the structural state of a steel frame; the input was a series of vibration signals, and the output was a structural state. The digital image correlation (DIC) technology was utilized to collect vibration information of an actual steel frame, and subsequently, the raw signals, without further pre-processing, were directly utilized as the CNN samples. The results show that CNN can achieve 99% classification accuracy for the research model. Besides, compared with the backpropagation neural network (BPNN), the CNN had an accuracy similar to that of the BPNN, but it only consumes 19% of the training time. The outputs of the convolution and pooling layers were visually displayed and discussed as well. It is demonstrated that: 1) the CNN can extract the structural state information from the vibration signals and classify them; 2) the detection and computational performance of the CNN for the incomplete data are better than that of the BPNN; 3) the CNN has better anti-noise ability.