A method for the evaluation of the response sensitivity of both classically and non-classically damped discrete linear structural systems under stochastic actions is presented. The proposed approach requires the following items: (a) a suitable modal expansion of the response; (b) the derivation in analytical form of the equations governing the evolution of the derivatives of the response (the so-called sensitivity equations) with respect to the parameters that define the structural model; (c) an extensive use of the Kronecker algebra for determining the analytical expressions of the sensitivity of the structural response statistics to non-stationary random input processes. Moreover, a step-by-step integration scheme able to solve the sensitivity equations is also studied. Handy expressions for the cross-correlations between the input process and the response sensitivities are also derived. A numerical application shows that the proposed approach is suitable to cope with practical problems of engineering interest.