This paper presents a convolutional neural network to automatically conduct the peak picking in frequency domain of structural responses. The peaks in frequency domain have a high potential to be the natural frequencies, which are one of the important indicator to be used for structural health monitoring purposes, such as damage detection, cable tension estimation, and finite element model updating. In general, the peaks with the corresponding natural frequencies are manually selected by the users from the frequency domain. Although this previous approach is possible to simply extract the candidate of natural frequencies, it is inappropriate in the practical applications of the long-term monitoring and the implementation for wireless smart sensor. To overcome the drawbacks, this study proposes the convolutional neural network that can automatically identify the peaks with the corresponding natural frequencies from the frequency domain of structural responses.