On the basis of Markov chain simulation, an efficient method is presented to analyze reliability sensitivity of structure. In the presented method, Markov chain is employed to draw the samples distributed in the failure region, and these samples are fitted in a form of hyperplane by the weighted regression. By use of the regressed hyperplane, it is convenient to complete the sensitivities of the failure probability with respect to the distribution parameters of basic random variables by the available method. The presented method is applied to some examples to validate its accuracy and efficiency. The obtained results show that the presented reliability sensitivity analysis method is far more efficient than Monte Carlo based method.