Yu struck in the final 10 minutes with a deflected free-kick to give Alain Perrin's side a memorable win.
China dominated the opening half but were unable to take the few chances they created, and they looked like being punished on the hour when Saudi Arabia were awarded a spot kick.
However, Hazazi – who was fouled by Ren Hang – saw a weak effort from 12 yards that was saved by Wang Dalei.
And the striker was left to rue that mistake as Yu grabbed all three points in the opening round of fixtures in Group B.
Having survived the early pressure China grew into the game and had the better of the half with Yu and Ji Xiang leading the charge – the former unable to convert a Zhang Chengdong cross.
The midfielder broke from the halfway line having collected a pass from Hao Junmin, before beating one defender and – while holding off two more Saudi challenges – firing a low effort just wide of the left-hand post.
Saudi Arabia were punished in the 80th minute as Yu's free-kick found the net, deflecting off the defensive wall to take it out of goalkeeper Waleed Abdullah's reach.
China had to deal with late pressure from their opponents in the closing minutes, but Hazazi found himself isolated to hand victory to Perrin's charges, moving them level with Uzbekistan - who they play next - after the first set of games in the pool.
