A three-dimensional structural health monitoring (SHM) system based on multiscale entropy (MSE) and multiscale cross-sample entropy (MSCE) is proposed in this paper. The damage condition of a structure is rapidly screened through MSE analysis by measuring the ambient vibration signal on the roof of the structure. Subsequently, the vertical damage location is evaluated by analyzing individual signals on different floors through vertical MSCE analysis. The results are quantified using the vertical damage index (DI). Planar MSCE analysis is applied to detect the damage orientation of damaged floors by analyzing the biaxial signals in four directions on each damaged floor. The results are physically quantified using the planar DI. With progressive vertical and planar analysis methods, the damaged floors and damage locations can be accurately and efficiently diagnosed. To demonstrate the performance of the proposed system, performance evaluation was conducted on a threedimensional seven-story steel structure. According to the results, the damage condition and elevation were reliably detected. Moreover, the damage location was efficiently quantified by the DI. Average accuracy rates of 93% (vertical) and 91% (planar) were achieved through the proposed DI method. A reference measurement of the current stage can initially launch the SHM system; therefore, structural damage can be reliably detected after major earthquakes.