Wu Lei began his football career playing for third tier football club Shanghai East Asia in a 5-3 loss on 2 September 2006 against Yunnan Lijiang Dongba, making him the youngest ever player to play professional Chinese football aged 14 years and 287 days. He would go on to see the club win the third tier title and promotion to the second tier at the end of the 2007 league season. On 30 August 2008, he would go on to score his first goal against Qingdao Hailifeng in a league game that Shanghai won 2-0. This made him the second youngest goalscorer in Chinese football aged 16 years and 289 days, just 47 days behind Cao Yunding's record.
On 2 June 2013, Wu scored a hat trick in a match which Shanghai East Asia beat Shanghai Shenxin 6-1 and became the second youngest player to score a hat trick in the Chinese top flight. He scored his second hat trick of the season in a 3-2 win against Tianjin Teda on 18 August 2013. He scored his third hat trick of the season in a 6-1 win against Qingdao Jonoon on 27 September 2013.