Yu was known for his vast knowledge in the Confucian Classics and historiographical writings. He belonged to the school of Confucian scholars that focused on the study of Han period 漢 (206 BCE-220 CE) commentaries on the Classics with the argument that these were relatively close to the origin of the texts. This was also true for the pre-Qin period (6th-3rd cent. BCE) "masters and philosophers".
In 1835 governor-general Lin Zexu 林則徐 (1785-1850) invited Yu Zhengxie to compile a local gazetteer for the provinces Hubei and Hunan, Liang-Hu tongzhi 兩湖通志.
In his later years Yu Zhengxie was a professor in the Xiyin Academy 惜陰書院 in Jiangning 江寧 (Nanjing). He has also compiled a local gazetteer of his home district, Xixian zhi 黟縣志. His collected writings are included in the books Guisi leigao 癸巳類稿 and Guisi cungao 癸巳存稿.