On 17 July 1936, Yu was appointed Apostolic Vicar of Nanking and Titular Bishop of Sozusa in Palaestina by Pope Pius XI.

He received his episcopal consecration on the following September 20 from Archbishop Mario Zanin, with Bishops Simon Tchu, SJ, and Paul Montaigne, CM, serving as co-consecrators, in Beijing.

In 1937, the Imperial Japanese Army took Nanjing and a reward of $100,000 was placed for the capture of Yu, who spent World War II in the United States.

During this time, the Archbishop dedicated himself to helping Chinese Americans and raising funds for refugees from Communist China in Taiwan, where he was made rector magnifico of Fu Jen Catholic University in 1961.

He was one of Generalissimo Chiang Kai-shek's closest advisors, and on the brink of McCarthyism, Archbishop Yü Pin made claims against Americans he thought were pro-Communist that turned out not to be true.