Open quantum systems that interact with structured reservoirs exhibit non-Markovian dynamics. We present a quantum jump method for treating the dynamics of such systems. This approach is a generalization of the standard Monte Carlo wave function (MCWF) method for Markovian dynamics. The MCWF method identifies decay rates with jump probabilities and fails for non-Markovian systems where the time-dependent rates become temporarily negative. Our non-Markovian quantum jump approach circumvents this problem and provides an efficient unraveling of the ensemble dynamics.