Structural damage detection by the Holder exponent receives much attention recently. Many investigations have been successfully applied to the crack identification, especially for the beam-type structures. However, a comprehensive analysis of the Holder exponent has been absent. Result in some conclusions had been drawn are unilateral. In this paper, the mode shapes of the clamped-clamped beams are analytical studied and a program calculating the Holder exponents of the mode shape signals with different damages is compiled with MATLAB. By comprehensively studying the Holder exponents of the clamped-clamped beams with cracks of different sizes, locations, and different order modes, a new phenomenon that the values of the Holder exponent vary with different locations of the crack is detected. The results also show that the Holder exponent decreases with the increase of the mode number. However, there are not obvious relations between the Holder exponent and the order of the mode for the whole beam locations.