Yu's wife, now retired, has a son. He is a member of the National Committee of the 10th China People's Political Consultative Conference.

During the 18th National Congress of the Communist Party of China, when sharing anti-corruption experience, Yu emphasized that anti-corruption should start with the system. He said, "How should I manage it? My wife retired and streaked, which is what Comrade Wu Yi called "streaking". Naked retirement means no position, no part-time job or anything, so it seems that I don't care much about her either.