Sun Yue signed his first professional contract with Chinese Basketball Association side Beijing Olympians in 2002 at the age of 17. In 2004, Sun was selected to the Chinese national under-20 team, but when Beijing refused to release him to play, the team was banned from playing in the Chinese Basketball Association. After touring in Taiwan, the team moved to play in the American Basketball Association. In Sun's first season in the American Basketball Association, he scored 9.5 points per game and seven rebounds per game with 6.7 assists per game. Sun also had his first triple-double of his career with 12 points, 12 rebounds, and 14 assists and was named to the All-ABA second team. In the following season, Sun improved his numbers, making the All-ABA first team with 13.5 points per game and six rebounds per game with 10.5 assists per game. Sun rejoined the Beijing Olympians after he was released by the Los Angeles Lakers in 2009.
After playing several more seasons with the Beijing Olympians (remaining with the club until its eventual disbanding in 2013), Sun then signed with the Beijing Ducks of the Chinese Basketball Association in 2013. He played a vital role in helping Beijing win their second CBA championship title during the 2013-14 season.
After originally entering the 2006 NBA Draft but subsequently withdrawing, Sun decided to enter the 2007 NBA Draft and was taken by the Los Angeles Lakers as 40th overall pick. However, Sun stayed with the Beijing Olympians for another year before signing with Los Angeles in August 2008. But only a few days after he arrived in the United States, Sun suffered from a bout of mononucleosis and had to be taken to the hospital. After recovering from his illness, Sun finally made his debut on 7 December 2008 against the Milwaukee Bucks, scoring 4 points in five minutes of play. He played in ten games and scored a total of 6 points in 28 minutes before being assigned to D-League side Los Angeles D-Fenders. He played six games with the team, averaging 9.8 points per game and 3.3 rebounds per game. Sun then suffered a left ankle sprain during practice with the Los Angeles D-Fenders and missed the remaining D-League games. He eventually recovered and traveled with the Los Angeles Lakers during the playoffs, but he was not played in any of the playoff games. Sun became the second ever Chinese player to win the NBA championship after Los Angeles defeated the Orlando Magic in the 2009 NBA Finals. Sun was then waived by Los Angeles on 31 July 2009 and by the New York Knicks, which he joined before the season started, on 7 October 2009.