A non-clipped semi-active stochastic optimal control strategy for nonlinear structural systems with MR dampers is developed based on the stochastic averaging method and stochastic dynamical programming principle. A nonlinear stochastic control structure is first modeled as a semi-actively controlled, stochastically excited and dissipated Hamiltonian system. The control force of an MR damper is separated into passive and semi-active parts. The passive control force components, coupled in structural mode space, are incorporated in the drift coefficients by directly using the stochastic averaging method. Then the stochastic dynamical programming principle is applied to establish a dynamical programming equation, from which the semi-active optimal control law is determined and implementable by MR dampers without clipping in terms of the Bingham model. Under the condition on the control performance function given in section 3, the expressions of nonlinear and linear non-clipped semi-active optimal control force components are obtained as well as the non-clipped semi-active LQG control force, and thus the value function and semi-active nonlinear optimal control force are actually existent according to the developed strategy. An example of the controlled stochastic hysteretic column is given to illustrate the application and effectiveness of the developed semi-active optimal control strategy.