In this paper, a Holder exponent, a measure of the degree to which a signal is differentiable, is presented to detect the presence of a discontinuity and when the discontinuity occurs in a dynamic signal. This discontinuity detection has potential applications to structural health monitoring because discontinuities are often introduced into dynamic response data as a result of certain types of damage. Wavelet transforms are incorporated with the Holder exponent to capture the time varying nature of discontinuities, and a classification procedure is developed to quantify when changes in the Holder exponent are significant. The proposed Holder exponent analysis is applied to various experimental signals to reveal underlying damage causing events from the signals. Signals being analyzed include acceleration response of a mechanical system with a rattling internal part, acceleration signals of a three-story building model with a loosing bolt, and strain records of an in-situ bridge during construction. The experimental results presented in this paper demonstrate that the Holder exponent can be an effective tool for identifying certain types of events that introduce discontinuities into the measured dynamic response data.