Zhu was born in Suzhou, Jiangsu, China on 2 December 1987. When she was 16 she attended The Hong Kong Academy for Performing Arts and majored in ballet. She achieved a scholarship to John F. Kennedy Center for the Performing Arts, where she studied for her postgraduate work-study on ballet. When she returned to Hong Kong, she was recruited by the Hong Kong Ballet, Hong Kong's leading professional ballet company.