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On 28 January 2019, Wu transferred to La Liga side RCD Espanyol for a reported fee of €2 million, signing a three-year contract with an option for an additional year. He made his debut for the club on 3 February 2019 in a 2–2 draw against Villarreal, coming on as a substitute for Dídac Vilà in the 77th minute. He became the second Chinese footballer to play in La Liga after Zhang Chengdong. On 9 February 2019, he came on as a substitute and earned a penalty which produced the equalizer in a 2–1 win against Rayo Vallecano. On 17 February 2019, Wu became the first Chinese footballer to start a La Liga match in a 0–0 draw against Valencia CF. Wu scored his first goal for the club on 2 March 2019 in a 3–1 win against Real Valladolid, becoming the first Chinese footballer to score in La Liga. On 24 April 2019, Wu scored his second goal for the club in a 1–1 draw against Celta. On 18 May 2019, Wu scored his third goal for the club in a 2–0 win against Real Sociedad, securing Espanyol's spot in the 2019–20 UEFA Europa League qualifying stages.

On 25 July 2019, Wu Lei made his UEFA Europa League debut in the qualifying rounds in a 4–0 win against Stjarnan, coming on as a substitute for Esteban Granero. A month later, he scored his first goal in the same competition in a 3–0 win against Luzern. His goal, a header in the third minute, was the fastest in the club's European history and was also the first goal scored by a Chinese footballer in any European continental competition since 2013. On 3 October 2019, Wu became the first Chinese footballer ever to score in European competition, excluding qualifying stages, scoring in a 2–0 win against PFC CSKA Moscow. On 4 January 2020, Wu Lei became the first Chinese player to score against Barcelona, scoring an 88th-minute equaliser for Espanyol after coming on as a substitute in a 2–2 draw.

Wu's transfer from Shanghai SIPG to La Liga side Espanyol on 28 January 2019 drew widespread attention amongst Chinese media outlets. According to PPTV, the official broadcaster of La Liga in China, more than 25 million fans in China watched Espanyol win 3–1 against Real Valladolid, in which Wu scored his first goal for the club.

Wu is of Hui ethnicity. He married his girlfriend Zhong Jiabei (仲佳蓓 ) in 2014 and has two children, a daughter and a son.

Wu scored a hat trick on 2 June 2013 in a 6–1 win against Shanghai Shenxin, becoming the second youngest player to score a hat-trick in the top tier. He scored his second hat-trick of the season on 18 August 2013 in a 3–2 win against Tianjin Teda. He scored his third hat trick of the season on 27 September 2013 in a 6–1 win against Qingdao Jonoon. On 31 July 2016, Wu became the first Chinese footballer in over two years to score a hat-trick in the Chinese Super League in a 3–3 draw against Guangzhou R&F. On 18 March 2018, he scored four goals in a 5–2 win against Guangzhou R&F, becoming the second Chinese footballer to score four goals in a league match after Li Jinyu. In the 2018 season, Wu became the top goalscorer in Chinese Super League history with 102 goals. He also won the Golden Boot award with 27 goals, becoming the first Chinese footballer to win the award since Li Jinyu. Wu was also named as the Chinese Football Association Footballer of the Year at the end of the season, becoming the Chinese footballer to win the award since 2007.

Several months later, Wu returned to the under-20 national team for the 2010 AFC U-19 Championship and he played in four games and score two goals while he aided China to the quarterfinals by the end of the tournament. He scored his first goal for China on 28 July 2013 in a 4–3 win against Australia at the 2013 EAFF East Asian Cup.

Wu's goalscoring prowess drew praise from former manager Gao Hongbo, who stated, "Wu's scoring ability is innate, making him a gifted player." In 2013, former mentor Xu Genbao, who has been attributed to helping develop Wu, described him as "China's Maradona". Wu's performances during the 2013 Copa del Sol caught the eye of Molde FK's manager Ole Gunnar Solskjær. Solskjær commented on Wu's footballing prowess, stating, "He is a good striker; if he moves to Molde, I think he can improve well enough to play for an English Premiership side in a year."

Wu was called up to the Chinese under-20 national team in 2009 and scored nine goals in five matches during the 2010 AFC U-19 Championship qualification matches. His impressive goalscoring performances saw him called up to the Chinese national team for the 2010 East Asian Football Championship, making his debut on 14 February 2010 in a 2–0 win against Hong Kong.

Wu Lei started his football career playing for third-tier side Shanghai SIPG, making his debut for the club on 2 September 2006 in a 5–3 loss against Yunnan Lijiang Dongba, making him the youngest ever player to play professional Chinese football aged 14 years and 287 days. He helped the club win the third tier title and promotion to the second tier at the end of the 2007 league season. He scored his first goal for the club on 30 August 2008 in a 2–0 win against Qingdao Hailifeng. This made him the second youngest goalscorer in Chinese football aged 16 years and 289 days, just 47 days behind Cao Yunding's record.

Wu Lei was born in Nanjing and developed a passion for football at an early age. Turned down by Jiangsu Sainty's youth academy for being too small, Wu took a recommendation letter from former Chinese footballer Li Hongbing and went to Shanghai to apply for the Genbao Football Base in 2003. After watching a single training session of Wu, Xu Genbao, the founder and owner of Genbao Football Base, decided to recruit Wu. Later in 2005, Wu and his teammates joined Shanghai East Asia, which was jointly founded by Xu Genbao.

Wu Lei (Chinese: 武磊 ; pinyin: Wǔ Lěi ; born 19 November 1991) is a Chinese professional footballer who plays as a left winger for La Liga club RCD Espanyol and the China national team.