In July 1927, Shu left the US and travelled through Japan, Korea, Manchuria, Moscow, and Warsaw, eventually reaching Germany where he principally visited Berlin, Hannover and Hamburg.

Shu then went to the UK, where, in October 1928 he enrolled in the University of Edinburgh to study mathematics and physics under E. T. Whittaker and Charles Galton Darwin, obtaining his MSc after one year.

Finally, in February 1930 Shu went to the University of Cambridge, and worked under Arthur Stanley Eddington, who that August advised him to return to the US to the Massachusetts Institute of Technology (MIT).

In September 1931, Shu returned to China, largely due to pressure from his mother to marry his fiancée, Ge Chuhua.

During this period, some famous students of his include: Cheng Kaijia, Xu Liangying, Hu Jimin, and Zhou Zhicheng (周志成).

In 1979, when the Oceanic Physics Branch (海洋物理分会) of the Chinese Society of Oceanography (中国海洋学会) was established in Guangzhou, Shu was elected its honorary director-general.