Melissa started her diving career at Parramatta Diving Club at 10 years of age. She relocated to Brisbane with her family a few years later where she was accepted into the Australian Institute of Sport (AIS). She begun training under her coach Xiangning Chen and was able to learn a senior list of dives at the age of 13 after just one year in the program.
Melissa defeated the reigning Olympic gold and bronze medallists in her first ever senior competition to claim gold at Australian Open Championships and qualified for her first Commonwealth Games at the age of 13. She teamed up with Alexandra Croak to win a silver medal at the 2006 Melbourne Commonwealth Games, despite the pair only having one week to train together and having to compete against much more experienced teams.
In 2007 Melissa partnered with Briony Cole to claim silver at the 2007 World Championships and the pair went on to win multiple medals at the World Series that year. They also won the silver medal at the 2008 Beijing Olympic Games the following year, making her the youngest Australian diver in history to not only compete at an Olympic Games, but also the youngest Australian diver to win a medal. Wu and Cole continued to win medals together throughout 2008 and 2009.
In 2010 Melissa relocated from the AIS program in Brisbane to the NSW Institute of Sport (NSWIS) program in Sydney. She struggled with depression for most of 2009 and felt she needed a change to a more supportive coach and program. She begun training under Chava Sobrino and also resumed her synchro partnership with Alexandra Croak. In the following years Melissa medalled at Commonwealth Games, World Championships, World Cup and World Series before qualifying for her second Olympic Games in London 2012 as well as her third Commonwealth Games in Glasgow 2014.
In 2014 Melissa's younger sister passed away and she took time away from diving to be with her family. She eventually decided to return to the sport, which was a huge challenge both physically and mentally. Despite having to overcome the loss of her sister, Melissa qualified for the 2015 World Championships in three events, was named the Australian Diving Team Captain and came away with a bronze medal in the mixed synchro event with Domonic Bedggood.
In 2016 Melissa qualified for the Rio 2016 Olympic Games, making her a three-time Olympian. She now has her sights set on the 2017 Budapest World Championships and the 2018 Gold Coast Commonwealth Games.
Melissa has completed a Certificate IV in Business (Fashion) and is currently studying a Bachelor of Commerce as well as a Certificate IV in Fitness. Wu is sponsored by the swimwear brand Funkita.