Media playback is not supported on this device
Yu, 29, took the final three frames, closing with breaks of 66 and 70, for a 6-4 victory and a place in the last 32.
World champion Mark Selby held his nerve to see off world number 68 Daniel Wells 6-4 after trailing 4-3.
Scotland's three-time champion John Higgins came back from 3-2 down to beat Thailand's Noppon Saengkham 6-4.
Welshman Mark Williams eased past England's Andrew Higginson 6-2, while Matthew Stevens beat Michael White 6-4 in an all-Welsh contest.
England's Ali Carter beat Robbie Williams 6-2, but fellow Englishman Barry Hawkins went down 6-5 to Ireland's Fergal O'Brien, who made five centuries including three in a row at one stage.
Media playback is not supported on this device
"It was a battle," Selby told World Snooker.
"My focus dipped in and out. It is still the early stages of the tournament, I don't want to peak too soon."
Higgins won four of the last five frames to overcome Saengkham, ranked 69 places below him at 73 in the world.
"I dodged a bullet there, I'm just delighted to get through," said Higgins.
"I really did think I'd be heading up the road when I went 4-3 down. A lot of these boys are not frightened of top players any more. I felt as if the luck had ran out but the luck's still with me just now."
Sign up to My Sport to follow snooker news and reports on the BBC app.
Media playback is not supported on this device
World number two Stuart Bingham suffered a shock defeat by world number 62 Yu Delu of China in the second round of the UK Championship in York.