Yu made her debut in film at the age of 16 in "Let's Rock" and was instantly signed by the Shaw Brothers Studio in 1976 after starring in the film Massage Girls with Chow Yun-fat, her future husband and in Forever and Ever alongside Alan Tang.

[1] In the late 1970s, Yu also began appearing on television, notably the Rediffusion TV series Reincarnated and her appearances as Princess Xiang Xiang in the martial arts series Book and Sword (書劍恩仇錄).

In 2011, Yu received a 30th Hong Kong Film Awards Best Supporting Actress nomination for her role in Once a Gangster.

In 1983, Yu married Chow Yun-fat, a notable Hong Kong actor, but the marriage only lasted nine months.

[2] In 1987, Yu remarried, to a Hong Kong businessman Henry Lee Junior and had two children with him.