She was one of the leading actresses in the late 1980s and early 1990s, next to Maggie Cheung, Brigitte Lin and Cheung Man. She was cast in a series of Category III films, though she never appeared nude in any of them. The most notable of these was Naked Killer (1992). During the height of her success, she regularly starred alongside superstars like Jet Li, Andy Lau, Stephen Chow, Ekin Cheng, and Jackie Chan.

Yau received four Hong Kong Film Award nominations for her acting: for Best Supporting Actress in 1992 for Lee Rock, and for Best Actress in 1993 for Naked Killer, in 1996 for I'm Your Birthday Cake, and in 1999 for Hold You Tight.

In 1999 she married Hong Kong fashion designer Shen Jiawei, founder of Hong Kong-based fashion company I.T. They have three children together.