Yu Hai started his football career with Shaanxi Chanba in the 2004 season and he made his debut for the club on 16 May 2004 in a 2–2 draw against Qingdao Etsong.

Before the start of the 2006–07 season, Yu transferred to Eredivisie side, Vitesse where he would make his debut for the club on 18 March 2007 in a 2–0 loss against FC Utrecht.

[2] On 1 December 2013, Yu scored twice in a 2-0 home win against Guangzhou Evergrande in the first leg of 2013 Chinese FA Cup final.

He eventually graduated to the senior team when he returned to the Chinese Super League and gained regular playing time with Shaanxi Chanba.

[9] In the team's opening group match, he scored the winning goal, a deflected free kick as China won 1–0 against Saudi Arabia.