The world No.186 qualified via a wildcard tournament in Nanjing. Wu fought back from one set down before the world No.74 Croatian prevailed 7-5, 4-6, 6-3 and 6-3 in three hours 14 minutes, reports Xinhua.
Before giving Dodig the victory with a mistimed forehand, Wu saved two match points. He produced a superb second set against Dodig but his 53 unforced errors hindered his cause. Dodig hit 50 winners to 35 from Wu.
Wu made history for Chinese tennis and is keen to lead China's men out of the shadows of their more successful women's counterparts.
While Li Na, who comes from Wu's home city, won the French Open final in 2011, Wu and Zhang Ze, ranked 158, are the only Chinese players in the men's top 350 for now.
After finishing his first Grand Slam event, Wu hopes that he could improve his world ranking to qualify for the French Open, instead of playing with a wildcard.
"This is my first Grand Slam and I'm sure it won't be the last," he said.
