Lu was born in Peking, China (now Beijing, China). Beginning in her teens, she was active in Chinese opera, or Kunqu, before emigrating to the United States. Beginning in the 1950s, she enjoyed a long career in television in the United States.
During the 1958-1959 television season, she had a recurring role as Miss Mandarin on the cult western show Yancy Derringer, set in New Orleans in 1868. In 1961 she had a recurring role as "Hey Girl" on the television series Have Gun – Will Travel. She made numerous other appearances on television, with guest starring roles on Bonanza, The Big Valley, The Richard Boone Show, The Virginian, Hawaiian Eye, The Man from U.N.C.L.E., The Rebel, and other shows.
In 1960, she was the female lead in the antiwar film, The Mountain Road, which starred James Stewart and which was based on the novel of the same name by the China war correspondent Theodore H. White, who later turned to reporting on U.S. politics. Her film career took off in the 1970s with supporting roles in films like Demon Seed and Peter Bogdanovich's Saint Jack. During this time, she received three Best Actress Golden Horse Awards for her Chinese-language films The Arch, The Empress Dowager, and The Fourteen Amazons.
For the remainder of her career, Lu alternated between theater and film. She may be best known by English-speaking audiences for her roles in The Last Emperor (1987), Noble House (1988 television miniseries), and The Joy Luck Club (1993). In addition to her work in film, theater, and television, she is known for narrating and producing a number of documentaries.