Many physics-based and surrogate models used in structural health monitoring are affected by different sources of uncertainty such as model approximations and simplified assumptions. Optimal structural health monitoring and prognostics are only possible with uncertainty quantification that leads to an informed course of action. In this article, a Bayesian neural network using variational inference is applied to learn a damage feature from a high-fidelity finite element model. Bayesian neural networks can learn from small and noisy data sets and are more robust to overfitting than artificial neural networks, which make it very suitable for applications such as structural health monitoring. Also, uncertainty estimates obtained from a trained Bayesian neural network model are used to build a cost-informed decision-making process. To demonstrate the applicability of Bayesian neural networks, an example of this approach applied to miter gates is presented. In this example, a degradation model based on real inspection data is used to simulate the damage evolution.