Wu was born in Gaoyu (高郵), Jiangsu to Wu Xiang (襄). He was rewarded the position of Pingxi King (平西王) in Yunnan, but later betrayed the Qing Empire in 1674 and started the Revolt of the Three Feudatories, declaring himself the "All-Suppress-Military Generalissimo" (天下都招討兵馬大元帥 Tianxia-dou-zhaotao-bingma Dayuanshuai). The following year, he declared himself the Emperor of Zhou (周帝), with the era name of Zhaowu (昭武), and capital in Dingtianfu, which was Hengzhou (衡州, now Hengyang, Hunan).
His concubine was Chen Yuanyuan. He died of illness in Hengzhou, Hunan province, and was succeeded by his grandson Wu Shifan (吳世藩).