In 1985, then 18-year-old Wu was given an audition for the role of Wenxiu in Bernardo Bertolucci’s 1987 film The Last Emperor. Six months later, she was chosen for the role, making her big screen debut. Wu later went on to star in the drama film Shadow of China (1989),directed and co-written by Mitsuo Yanagimachi, followed by the action comedy Iron & Silk (1990). The following year, she appeared in the poorly received superhero comedy film The Guyver with Mark Hamill. She was chosen by People as one of The 50 Most Beautiful People in the World in 1990.

Wu was born in Shanghai, China. Wu is the daughter of Zhu Manfang, one of the leading actresses in China during the 1940s and 1950s. Wu began acting at the age of 16 in Shanghai Film Studio. In 1987, she attended the Hawaii Pacific University, studying tourism.

Wu gained some critical acclaim after appearing in The Joy Luck Club (1993) directed by Wayne Wang, and playing the leading role in the erotic drama film The Pillow Book (1996). Wu also played Mitsu in the 1993 film Teenage Mutant Ninja Turtles III. She played historical figure of Soong Mei-ling in the 1997 historical drama film The Soong Sisters, and The Founding of a Republic (2009) and well as on 2011 television series Departed Heroes.

Wu married Cuban-born director and producer Oscar Luis Costo in 1994.

In 2020, Wu made her return to Hollywood productions after nearly 25 years, with a starring role as Chinese astronaut Lu Wang, in the Netflix science fiction drama Away opposite Hilary Swank.