Lamb wave-based damage identification and localization methods hold the potential for nondestructive evaluation and structural health monitoring. Dispersive and multimodal characteristics lead to complicated Lamb wave signals that are challenging to be analyzed. Deep learning architectures could identify damage-related features effectively. Convolutional neural network (CNN) is a promising architecture that has been widely applied in recent years. However, this data-driven approach still lacks a certain degree of physical interpretability and requires a large number of parameters. In this article, an interpretable Lamb wave convolutional sparse coding (LW-CSC) method is proposed for structural damage identification and localization. First, toneburst signals at different center frequencies are considered in the first convolutional layer. The network convolves the waveforms with a set of parametrized functions that implement band-pass filters, which performs more physical interpretability compared to conventional CNN model. Subsequently, the damage features are extracted according to the multi-layer iterative soft thresholding algorithm for multi-layer CSC model, which could realize a deeper network without adding parameters unlike CNN. Finally, Lamb wave-based damage localization is visualized using an imaging algorithm. The experimental results demonstrate that the proposed method not only enables improvement of the classification accuracy but also achieves structural damage localization accurately.