Yu has starred in several short films, including 2006's My Prince, My Angel. Yu later appeared with Linda Park on the ABC series Women's Murder Club, and a lead role in the 2007 short film Fortune Hunters. In 2020, he played a role in Wonder Woman 1984.
Yu had a recurring role in the Netflix original series Master of None as the character of Brian Chang, the on-screen analogue of the show's creator Alan Yang, described as a "hottie" by Vulture magazine. He provides the voice of a minor character on The Great North. In 2022 Yu appeared in the Apple TV series The Afterparty.