He hailed from Pixian 郫縣 (modern Pixian, Sichuan) and was a disciple of the writer Wang Bao 王褒. As a well-educated person he was by Emperor Xuan granted a scholarship at the National University (taixue 太學) where he studied the Confucian ClassicYijing 易經 "Book of Changes". Excelling in the examination, he was appointed court gentleman (lang 郞) and was soon recommended by Zhai Fangjin 翟方進 and made magistrate (ling 令) of Hu 鄠, a post he had to leave soon because of some offence.
Chamberlain for the Imperial Stud (taipu 太僕) Wang Yin 王音 recommended him for appointment, and He Wu was classified as "straightforward and upright" (fangzheng 方正) and soon made Grand master of remonstrance (jian dafu 諫大夫). His next post was that of regional inspector (cishi 刺史) of Yangzhou 揚州, an office in which he brought peace and prosperity to the southwest. After five years he was promoted to the office of rectifier (sizhi 司直) to the Counsellor-in-chief (chengxiang 丞相) Xue Xuan 薛宣.
The latter helped him to obtain the position of governor (taishou 太守) of the commandery of Qinghe 清河, but natural diasters led to his dismission. Minister of War (da sima 大司馬) Wang Gen 王根 helped him to advance to the post of Grand master of remonstrance and then regional inspector of Yanzhou 兖州, metropolitan commander (sili xiaowei 司隸校尉), metropolitan magistrate (jingzhao yin 京兆尹), administrator (neishi 內史) of the Prince of Chu 楚, governor of Peijun 沛郡, and then Chamberlain for Law Enforcement (tingwei 廷尉).
In 8 BCE, he succeeded Kong Guang 孔光 in the office of Censor-in-chief (yushi dafu 御史大夫). Emperor Cheng 漢成帝 (r. 33-7 BCE) promoted him to Grand Minister of Works (dasikong 大司空) and gave him the title of Marquis of Fanxiang 氾鄉侯.
Emperor Ai 漢哀帝 (r. 7-1 BCE) gave him the post of general of the vanguard (qian jiangjun 前將軍). Together with Kong Guang, at that time Counsellor-in-chief, He Wu tried promoting a law that restricted the size of privately owned land and the number of private slaves, yet without success.
When Wang Mang 王莽 became regent for Emperor Ai, He Wu was dismissed. When Wang Mang started extinguishing the members of the family of Empress Dowager Wei 衛太后, He Wu feared being accused and executed, too, and committed suicide. His posthumous title is Marquis La 剌侯.