Wu made her first film appearance in 1987, as Wen Xiu in Bernardo Bertolucci's The Last Emperor. She later appeared in The Guyver, alongside Mark Hamill. The film received mostly negative reviews, where it was criticized for its "overacting", "ridiculous plot", and "bad soundtrack". She gained some critical acclaim, after appearing in The Joy Luck Club (1993), and The Pillow Book (1996), as Nagiko, a Japanese model, alongside Ewan McGregor. Beside films, she has also worked in television, making guest appearances in shows, such as The Untouchables, L.A. Law, Tales from the Crypt, Highlander: The Series, JAG, Murder, She Wrote, F/X: The Series, ER, and Ghost Whisperer. As May–Lin Eng in Eve and the Fire Horse (2005), Wu gained an Genie Award nomination. She also appeared in the Indiana Jones and the Emperor's Tomb as Mei Ying.

She was chosen by People as The 50 Most Beautiful People in the World.