Wu was born in 1920 in Pokfulam to Wu Chung, a leading merchant in Hong Kong and founder of the Weatherite Industries, often nicknamed "King of Taxi". His brother, Gordon Wu, was also a prominent real estate developer. Wu was educated at the Dunmei School, a famous Chinese school in Hong Kong, and subsequently at the King's College, Hong Kong. He studied at the University of Hong Kong before the Japanese invasion. He went on to finish his study at the National Sun Yat-sen University with a degree in engineering.