Dealing with complex engineering problems characterized by Big Data, particularly in the structural engineering area, has recently received considerable attention due to its high societal importance. Data-driven structural health monitoring (SHM) methods aim at assessing the structural state and detecting any adverse change caused by damage, so as to guarantee structural safety and serviceability. These methods rely on statistical pattern recognition, which provides opportunities to implement a long-term SHM strategy by processing measured vibration data. However, the successful implementation of the data-driven SHM strategies when Big Data are to be processed, is still a challenging issue since the procedures of feature extraction and/or feature classification may result time-consuming and complex. To enhance the current damage detection procedures, in this work we propose an unsupervised learning method based on time series analysis, deep learning and Mahalanobis distance metric for feature extraction, dimensionality reduction and classification. The main novelty of this strategy is the simultaneous dealing with the significant issue of Big Data analytics for damage detection, and distinguishing damage states from the undamaged one in an unsupervised learning manner. Large-scale datasets relevant to a cable-stayed bridge have been handled to validate the effectiveness of the proposed data-driven approach. Results have shown that the approach is highly successful in detecting early damage, even when Big Data are to be processed.