This paper aims to review high-dimensional data analytic methods for structural health monitoring (SHM) and non-destructive evaluation (NDE) applications. High dimensional data is a type of data in which the number of features for each observation is much larger than the number of all observations. High dimensional data may violate assumptions of the classic methods for statistical modeling and data analysis. Then, classic statistical modeling will no longer be applicable. High dimensional data analytics (HDDA) methods were developed to overcome this challenge and analyze these types of data. In the field of SHM/NDE, there are several sources of high-dimensionality. Examples include a large number of data points in continuous waves/signals or high-resolution images/videos. HDDA methods are used as a dimension reduction tool to preprocess data for further analysis, or they are directly implemented for damage detection and localization. This paper reviews six HDDA methods as well as existing and potential applications in SHM/NDE. Particularly, this paper discusses the vast range of implemented SHM/NDE applications from crack detection to data missing data imputation. Furthermore, experimental and simulated datasets have been used to show the application of HDDA methods as hands on examples. It is shown that the potential of HDDA for SHM/NDE studies is significantly more than the existing studies in the literature, and these methods can be used as a powerful tool that provides vast opportunities in SHM/NDE.