He hailed from Lu 魯 (modern Qufu, Shandong) and studies the Confucian Classis. Bai Ziyou 白子友 lectured to him the Yijing 易經 "Book of Changes", and Xiao Wangzhi 蕭望之 in the Lunyu 論語 "Confucian Analects". During the reign of Emperor Yuan 漢元帝 (r. 49-33 BCE), Wulu Chongzong 五鹿充宗 compiled the Liangqiu 梁丘 version of the "Book of Changes", which proved so difficult to dispute, that only Zhu Yun was able to contest it as an unorthodox version. He was therefore made erudite (boshi 博士).
Later on he was appointed magistrate (ling 令) of Duling 杜陵 (near modern Xi'an 西安, Shaanxi), then magistrate of Huaili 槐里 (modern Xingping 興平, Shaanxi). Zhu Yun was befriended with the palace aid of the Censor-in-chief (yushi zhongcheng 御史中丞) Chen Xian 陳咸, and both submitted memorials against the Counsellor-in-chief (chengxiang 丞相), Wei Xuancheng 韋玄成 and Shi Xian 石顯, the director of the Imperial Secretariat (zhongshuling 中書令), but the charge was turned against Chen Xian and Zhu Yun, and they were imprisoned and not allowed to hold any office any more. When Emperor Cheng 漢成帝 (r. 33-7 BCE) mounted the throne, Zhu Yun again courageously criticized a senior official, this time Zhang Yu 張禹. He was banished from the court and ended his life as a renowned teacher in Hu 鄠 (modern Huxian 戶縣, Shaanxi).