The 26-year-old, who competed for China at the 2010 Vancouver Olympics, clocked 36.94 seconds at the Olympic Oval facility to become the first woman to break the 37-second barrier.
The previous world record of 37.0sec was set in December of 2009 at Salt Lake City by Germany's Jenny Wolf.
It was the second world record in as many days here, after Canadian Christine Nesbitt broke the 1,000m world record on Saturday.
Yu earned the sprint world title at the end of the weekend's four races with a total of 148.610 points, just edging defending champion Nesbitt who finished with 148.630 points.
China's Zhang Hong was third with 149.700 points.
On the men's side, South Korea's two-time sprint world champion Lee Kyou-hyuk was dethroned by Stefan Groothuis of the Netherlands.
The Dutch skater emerged from the four races with a total of 136.820 points with Lee second on 137.000. South Korea's Mo Tae-bum was third.
Two other speed skating world championships are on the slate for 2012 -- the all-around worlds at Moscow February 18-19 and the distance worlds at Heerenveen in the Netherlands March 22-25
