Dzhyma had good results, including bronze in the individual race at 2009 Junior European Championships.

On 4 January 2012, she debuted in German Oberhof in the women's relay with a team which later would win Olympic gold.

On 28 December 2017, she participated in the prestigious commercial competition World Team Challenge, where she placed 5th together with Belgian biathlete Michael Rösch.

Still, they were incompetent regarding rules regarding mass start qualification, so Yuliia participated only in the individual race, where she was 20th.

Yuliia's father is a former Ukrainian biathlete, Valentyn Dzhyma, who participated in the 1994 Winter Olympics and finished his career the following year.

After 2018 Winter Olympics, there were some rumors that Yuliia Dzyma was dating the head coach of the Ukrainian women's national team Uroš Velepec.