At Dalian Shide, Yu was trained by former England international goalkeeper Jimmy Rimmer, however before he had a chance to establish himself within the team he was seriously injured in a training session where he received a ruptured spleen and one year out of football.
[1] Upon his return from injury Yu was allowed to join third-tier club Shanxi Wosen Luhu in the 2002 league campaign before he returned to Dalian Shide after they needed a third choice goalkeeper the following season.
At the top-tier club he would have to wait to establish himself until on April 9, 2003, in a 2002–03 AFC Champions League semi-final match he was given his debut after the first choice goalkeeper An Qi was sent-off and Yu had to deputize as Dalian Shide lost to Al Ain FC 4–2.
[2] After making very little progress at Dalian Shide he was sold to top-tier club Qingdao Jonoon F.C.
for 1.5 million Yuan and was expected to fight for the goalkeeping position against Liu Zhenli.