Wen was born on November 20, 1963 in Coloane, one of the two main islands of Macau. Her parents moved to Macau in the mid-1960s, from mainland China.
Wen’s parents divorced when she was an infant and she moved with her mother, Lin Chan Wen, to Hong Kong. Her mother remarried, to Soo Lim Yee, and the family moved to New York City when Wen was four years old. After five years, Wen’s mother and stepfather relocated again, to the Pittsburgh, Pennsylvania, area, where they opened The Chinatown Inn restaurant, which is still operating. Raised in the suburb of Mt. Lebanon, Pennsylvania, she attended Mount Lebanon High School and graduated from Carnegie Mellon University in 1986.
After starring in the acclaimed 1993 film The Joy Luck Club, she landed the role of Dr. Jing-Mei “Deb” Chen on the NBC drama series ER. She first starred in a recurring role during the 1994–1995 season before returning in 1999 as a series regular, remaining on the show until midway through Season 11 in 2004. Wen also played Chun-Li in Street Fighter and co-starred on the sitcom The Single Guy from 1995 to 1997.
In 1990, Wen married American film writer Kirk Aanes. They divorced in 1993. On June 16, 1995, Wen married her second husband, Eric Michael Zee.