Yu, like many martial artists, got his start in show business doing traditional Chinese opera. He trained at the prestigious Peking Opera School and appeared in several Mainland martial arts films. Yu's first big break came when he starred alongside fellow Mainlander Gong Li in Zhang Yimou's The Terracotta Warrior (1989).
Yu's "traditional" Mainland looks (dark skin and larger eyes) combined with his martial arts skills caught the attention of several Hong Kong film-makers. They wanted to cast him as a villain, since usually "Hongkies" have a tenuous relationship at best with Mainlanders and don't take well to seeing them as heroes in their films. Famed martial-arts director Yuen Woo Ping had other ideas for Yu, though. Yuen cast Yu as the hero in the now-classic wire-fu extravaganza Iron Monkey (1993). It was on the strength of this performance that Yu cemented himself as one of the first few Mainland actors to make it big in Hong Kong.
Yu has continued to work steadily over the years, working as both as the hero (1993's Taxi Hunter paired him up against psycho taxi driver-killing Anthony Wong) and the villain, such as in My Father is a Hero (1995) where he plays opposite fellow Mainlander Jet Li. Like many Hong Kong stars, he has received offers to work in America, but seems determined to keep acting in Asia as long as there is work to be found -- though Yu did recently make his US debut alongside Jackie Chan with a small role in Shanghai Noon (2000).