Zhu began shooting training at Wenzhou Sports School in 1999. From there, in February 2002, he joined the Zhejiang province shooting team. Zhu joined the national shooting team on December 14, 2003. At the time of his Olympic victory, he was still a junior, and his qualification round score of 599 was an equalled junior world record. He repeated this achievement at the 2004 ISSF World Cup Final in Bangkok, which he also won. He has since then won several ISSF World Cup competitions in 10 m Air Rifle.
On September 22, 2011, Zhu shot a perfect 600 in the qualification round. He scored 103.8 in the final round making a total score of 703.8 to gain the 10 m Air Rifle final world record.
His best result in 50 m Rifle is a bronze medal from the 2004 Asian Championships. Zhu is 5'11" tall and weighs 148 pounds. At the 51st ISSF World Championship held in Granada, Spain, Zhu got gold medal in 50m Rifle 3 Positions.
