Dalian Shide F.C.
Without a club Liu Yu would move to reigning league champions Dalian Shide F.C. where he would make his league debut against Liaoning F.C. on March 18, 2006 in a 2–0 win. Once again he would quickly establish himself within the team and become their first choice left-back and make twenty league appearances in his debut season. By the next season Zhai Yanpeng regained his place as Dalian's left-back and Liu Yu was allowed to leave by the end of the season. This saw Liu Yu join fellow Chinese Super League team Henan Construction and while he was a regular throughout the season he only remained with them for one season before joining Chengdu Blades at the beginning of the 2009 Chinese Super League season.