Compared to viscous damping, exponential damping is a more general linear damping for dynamic systems and has been widely used in recent years. However, most of the existing damping identification methods are limited to viscous and structural damping. In this paper, by assuming that the mass and stiffness matrices are known in prior, a new damping identification method using complex frequency response functions (FRFs) is proposed. With the identification method presented here, viscous damping, structural damping and exponential damping matrices can be identified simultaneously. Besides, this method can be used to identify some other non-viscous damping. The proposed identification method is a direct matrix method so that it is not necessary to obtain the modal parameters. A numerical example is presented to illustrate the effectiveness of the identification method. The robustness of the method while the FRFs are contaminated with noise is also investigated. Good agreement between identified damping matrices and exact damping matrices has shown good performance of the proposed identification method.