A novel semi-active tuned liquid column damper using magneto-rheological fluid (MR-TLCD) is devised for wind-induced vibration mitigation of tall building structures. It combines the benefits of magneto-rheological smart materials and tuned liquid column dampers. A mathematical model of the devised MR-TLCD is first established using the parallel-plate theory, and then a method for analyzing stochastic dynamic response of building structures incorporating semi-active MR-TLCDs subjected to random wind excitation is developed by means of the equivalent linearization technique. The open-loop control effectiveness of MR-TLCDs in mitigating wind-induced structural response is studied by referring to a 50-storey high-rise residential building equipped with MR-TLCDs. The analysis results show that MR-TLCDs with optimal parameters are capable of achieving much better vibration mitigation capability than conventional TLCD system.