Tall buildings and tower structures are particularly sensitive to fluid-structure interaction and susceptible to damage induced by wind loads. This chapter describes recent study activities on the structural performance of tall structures against nonstationary wind loads, generated by thunderstorm downbursts. Downbursts are short-lived, high-wind, and large-turbulence phenomena that have caused damages both to buildings and other structures in recent years. Even though they are not currently included in structural engineering standards, effects may be detrimental since they may exceed the design requirements prescribed for synoptic, stationary winds. As part of an emerging study activity in the field of performance-based wind engineering, the author and his collaborators have been developing a suite of methods for life-cycle cost analysis of tall buildings, damaged by thunderstorm wind loads. The team explored both computational methods that account for randomness in load and structural modeling (e.g., Monte Carlo sampling combined with Wavelet-Galerkin solvers), and stochastic calculus methods that directly estimate the probability density function of a suitable damage & cost variable. This study summarizes the main findings. This communication is based on the invited presentation, delivered by the author at the 5 \({\text {th}}\) Global Summit of the Global Alliance of Disaster Research Institutes, GADRI—Engaging Sciences with Action, on August 31 \({\text {st}}\) , 2021.