Started playing tournaments around the time he was age 7, and estimated he shot 120 in his first event; he saw how much better the other kids were and wanted to beat them.

As a youngster, attended a golf clinic hosted by Yani Tseng, a fellow representative of Chinese Taipei who held the No. 1 spot in the Women's World Golf Rankings for 109 consecutive weeks.

Moved to the United States in January 2015, roughly four months after he won an individual bronze medal and helped Chinese Taipei win a gold medal at the 2014 Asian Games. Yu trained at the Gary Gilchrist Golf Academy as he played the junior circuit in the U.S.

In December 2024 two months after his first PGA TOUR victory, hosted a junior golf camp with 13 attendees in his native Taiwan. Yu said of the camp, "I've always wanted to give back to golf in general. What I've been through in my journey, it's the same for these kids. If I can offer my time and help them achieve their goals, that would be good. I just wanted to share some of my experiences with them."