One of the next frontiers in structural wind engineering is the design of tall buildings using performance-based approaches. Currently, tall buildings are being designed using provisions in the building codes and standards to meet an acceptable level of public safety and serviceability. However, recent studies in wind and earthquake engineering have highlighted the conceptual and practical limitations of the code-oriented design methods. Performance-based wind design (PBWD) is the logical extension of the current wind design approaches to overcome these limitations. Towards the development of PBWD, in this paper, we systematically review the advances made in this field, highlight the research gaps, and provide a basis for future research. Initially, the anatomy of the Wind Loading Chain is presented, in which emphasis was given to the early works of Alan G. Davenport. Next, the current state of practice to design tall buildings for wind load is presented, and its limitations are highlighted. Following this, we critically review the state of development of PBWD. Our review on PBWD covers the existing design frameworks and studies conducted on the nonlinear response of structures under wind loads. Thereafter, to provide a basis for future research, the nonlinear response of simple yielding systems under long-duration turbulent wind loads is studied in two phases. The first phase investigates the issue of damage accumulation in conventional structural systems characterized by elastic-plastic, bilinear, pinching, degrading, and deteriorating hysteretic models. The second phase introduces methods to develop new performance objectives for PBWD based on joint peak and residual deformation demands. In this context, the utility of multi-variate demand modeling using copulas and kernel density estimation techniques is presented. This paper also presents joined fragility curves based on the results of incremental dynamic analysis. Subsequently, the efficiency of tuned mass dampers and self-centering systems in controlling the accumulation of damage in wind-excited structural systems are investigated. The role and the need for explicit modeling of uncertainties in PBWD are also discussed with a case study example. Lastly, two unified PBWD frameworks are proposed by adapting and revisiting the Wind Loading Chain. This paper concludes with a summary and a proposal for future research.