Born and raised in countryside China, Yu obtained his B.Sc. (Chemistry) from Shandong University in 1991 at an age of 20. He then received his joint M.Sc. from Shandong University and Dalian Institute of Chemical Physics (Chemical Physics) in 1994, and his Ph.D. from Peking University (Materials Chemistry, with Prof. Zhong-Fan Liu) in 1997. He did his postdoctoral research with Nobel Laureate Ahmed Zewail and electrochemist Fred Anson at the California Institute of Technology from 1997 to 1999.