Yu was born on January 10, 1966, in Zhejiang, China. He received his B.Sc. in chemistry at East China Normal University in 1987. Yu then went on to the Guangzhou Institute of Chemistry, Chinese Academy of Sciences where he worked on heterogeneous reactions of terpenes with zeolite materials with Prof. Shu-De Xiao, obtaining his M.Sc. in 1990. He remained at the Guangzhou Institute of Chemistry for four years as a research associate.
In 1994, Yu moved to the United Kingdom to pursue graduate studies at the University of Cambridge with Prof. Jonathan B. Spencer. At Cambridge, he studied biosynthesis and the mechanistic details of the hydrometallation step in asymmetric hydrogenation reactions with heterogeneous and homogeneous catalysts, among the twenty-one papers he co-authored with Spencer. Yu graduated with his Ph.D. in 1999.
Between 1999 and 2001, Yu worked as a Junior Research Fellow of St John's College, Cambridge. From 2001-2002, Yu worked as a postdoctoral fellow at Harvard University in the laboratory of Prof. E. J. Corey on selective palladium-catalyzed allylic oxidation reactions. Yu returned to Cambridge in 2002 and continued in his position as a Junior Research Fellow.