Zhou Yajun began his football career with the various Shanghai Shenhuayouth teams and took part in the squads that trained in Brazil, however instead of immediately continuing with his football career Zhou Yajun would instead continue with his studies and go toDonghua University where he still played football as a goalkeeper. Once he had completed his studies he was allowed to return to Shanghai Shenhua and by the 2006 Chinese Super Leagueseason he would start his professional football career as their third choice goalkeeper. His league debut would come onJuly 16, 2006 against Qingdao Zhongneng in a 2-0 win. Surprisingly he would find himself continuing to play in goal due to injury and suspensions to the other goalkeepers and by the end of the season he had played in 12 league games. Zhou Yajun's progression within the Shanghai Shenhua's football team was short lived when they merged with local football team Shanghai United F.C. and with the influx of players he found himself immediately dropped from the newly formed team throughout the 2007 league season.