Wu decided to change his Chinese name because his name is too similar to Hong Kong film star Francis Ng (traditional Chinese: 吳鎮宇; pinyin: Wú Zhènyù).

Allan is a graduate of the University of California at Berkeley but found difficulty in maintaining interest in his course. He eventually discovered his desire to become an actor after an accident made him reassess his life. He had a modelling stint for the Ford agency. He also participated in an episode of the reality competition series Fear Factor, where he placed 2nd. He moved to Hong Kong where he worked as an actor.

Despite struggling with limited knowledge of Mandarin and Cantonese, MTV Taiwan gave him a stint as a VJ, during which he co-hosted a Christmas concert. Acting jobs soon followed as he co-starred in the television drama series Wu Yan De Ai for Singapore's MediaCorp and followed by a role in the Jack Neo-directed romantic comedy film I Do, I Do.

He has been the host for all 3 seasons of The Amazing Race Asia. In Season 16 of the American version of the Amazing Race, Allan Wu made a cameo appearance in Singapore, handing out a clue.

He is married to Singaporean actress Wong Li-Lin and they have a daughter Sage and son Jonas. The couple is managed by Fly Entertainment.

As of late 2008, Allan is one of 5 Carlsberg Luck Ambassadors, the others being Michelle Chia, Fiona Xie, Michelle Chong and Mark Lee. His main specialization in the campaign is "friendship".

He just finished filming the The Amazing Race: China Rush in which it will be televised through International Channel Shanghai (ICS) all across China on August 8 this year.

Currently , he is filming the fourth installment of The Amazing Race Asia.