Yu's early career was as an elite programmer for the King's Quest series for the Apple II although she had her own 3D engine projects that she sold to various companies. She programmed for QuickDraw 3D, an early rasterisationAPI. She worked on the game Zombie, and created the video game engine used in Spec Ops. In November 1997, she was employed by video game developer Ion Storm. She worked on the 2001 video game Anachronox and served as Director of Technology at the studio. While at Ion she was responsible for the Quake 2 code base used in their games and any games based on that engine. In November 1998, she left Ion Storm and later became the Lead Technology Programmer at 3D Realms. Yu worked as Director of Technology of Gearbox Software, creator of Brothers in Arms and Borderlands. Yu worked to heavily modify the Epic Unreal Engine 3 with an emphasis on lighting, shadows and physics. Yu was a founding member of Microsoft's Direct 3D Advisory Board. She participated in CUDA and GPU simulation at NVidia.
In 2008, Microsoft Studios hired Yu as the Principal Engine Architect for an internal studio, 343 Industries. 343 Industries was established in 2007 to oversee the Halo franchise following Bungie's separation from Microsoft. Yu programmed lighting, facial animation, and developed new technology for the 2012 video game Halo 4. While coding on Halo team, Yu researched new lighting techniques, and invented new dynamic radiosity algorithms. Microsoft applied a software patent for Yu's Halo lighting work.