Yu won the Academy Award for Best Documentary Short Subject in 1996 for Breathing Lessons: The Life and Work of Mark O'Brien (1996).

In 2019, Yu was nominated for an Emmy Award for "Outstanding Direction for a Limited Series, Movie, or Dramatic Special" for the Fosse/Verdon episode "Glory".

[citation needed] Yu graduated from Yale University in 1987[5] summa cum laude, Phi Beta Kappa,[6] with a bachelor's degree in English.

Yu began her career in 1993 with her short Sour Death Balls, a silent black-and-white montage of assorted subjects’ reactions to blindingly bitter candy, which was shot on an old school Bell & Howell wind-up camera.

[4] Yu's 1998 HBO documentary The Living Museum, which follows Creedmoor Psychiatric Center patient Issa Ibrahim, was nominated for the Grand Jury Prize at the 1999 Sundance Film Festival.

[15] In the 2000s, Yu's chance to work in episodic TV came when she received an invitation to apprentice at John Wells Productions as the first participant of their director diversity program.

“If you screw this up,” she told herself, “they’ll never let another woman of color from documentaries do this again.”[1] While working for Wells’ production company, she began directing in television for shows like Grey's Anatomy and The West Wing.

“He made a point of saying, ‘You should bring your own ideas to the table,’ rather than just follow prescribed formula.” So she decided to open with a series of mood-establishing low, wide-angle shots to signal the calm before the gathering storm.

Yu and her comrades felt that Asian American cinema had plenty of good dramas and wanted to fill the void of superficial comedy.

[1] In her later documentaries such as Last Call at The Oasis (2011) and Misconception (2014), Yu focused on capturing the big picture and understanding how these issues intertwined with other aspects of life such as climate, population, and the environment.

It took six months of research prior to filming, as Yu wanted to create the big picture of the facts and threats of the water crisis in the domestic United States.

While filming Last Call at the Oasis people questioned the purpose of acting on water conservation because they cannot control the population growth affecting it.