Wu made her first film appearance in 1987, as Wenxiu in Bernardo Bertolucci's The Last Emperor. She later appeared in the poorly received The Guyver, alongside Mark Hamill. 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. She also starred in the live action video game Supreme Warrior (1994). As May–Lin Eng in Eve and the Fire Horse (2005), Wu gained an Genie Award nomination. She also appeared in the video game, Indiana Jones and the Emperor's Tomb, as Mei Ying.
She was chosen by People as one of The 50 Most Beautiful People in the World in 1990.
