Then in October 1998, the first Beijing Music Festival kicked off. Ensembles and renowned musicians from more than 10 countries, such as Germany, France, Russia and the United States, joined the festival with top Chinese musicians for two-week-long programs ranging from operas, chamber music to recitals.

At that time, the classical music scene in China was quite different with smaller audiences and fewer venues for classical music compared to today's booming scene. Yu, along with his team, worked hard to keep the festival going. Since it was launched in 1998, the festival has been held in Beijing every autumn, which is credited with popularizing classical music in China and fostering a new generation of classical musicians and music lovers.

In the past 24 years, the festival has commissioned 22 works with composers from home and abroad, such as Howard Shore, Aaron Zigman, Tan Dun and Chen Qigang. In 2002, the festival introduced its China Concept program, which brings Chinese musicians and their works to the world.