Yu grew up in Los Altos Hills, California and graduated from Gunn High School in Palo Alto. There she wrote for the school newspaper, The Oracle. She then went to Yale University, majored in English and was an NCAA All-American in fencing. As a world-class foilist, she was a member of the Junior World Team and the United States national team at the World Championships and World University Games. Jessica Yu graduated from Yale University summa cum laude, Phi Beta Kappa in English, 1987.