Personality
Shan Yu is among the most ruthless and merciless villains ever seen in the Disney universe. He proves that it is not below him to kill his enemies in cold blood to prove his strength. He even makes jokes about it: After capturing two imperial scouts and sending them to deliver his challenge to the emperor, he asks his lead archer how many men it takes to deliver a message. The archer then draws his bow and replies, "One." Ultimately, only one scout delivers the message, implying that the archer killed the other. He is also shown to be merciless even to defenseless individuals, as evidenced by his murderous smirk when he suggests that he "return" the doll to its owner, as well as being implied to have killed the owner of the doll as well as her entire village. His penchant for brutality was such that the Emperor immediately took the matter seriously as soon as he learned that Shan Yu was leading the invasion, and one of the captured scouts fearfully recognized him when they were brought before him.
Shan Yu is also supremely confident in both his and his army's strength and superiority, often deliberately allowing his enemies the advantage in order to prove his might. Such examples include his attack on the Great Wall, where he allowed a lone sentry to light the signal fire, sending word to the Emperor and giving him time to mobilize the Imperial Army. Later, he allows one of the Chinese spies to return to the Forbidden City, smugly telling the spy to inform the Emperor to send his best troops to face the Huns. In this instance, he even claims that the Emperor "invited" him. He also decides to head straight for the mountain pass that would lead him straight to the Forbidden City, knowing full well that the entire Imperial Vanguard is guarding the pass and completely rejecting the option to simply go around the mountains and avoid the enemy army. As he and his men was later revealed to have managed to completely wipe out the Imperial Vanguard presumably without any significant casualties at his end, this confidence may have been perfectly justified. Even after being buried under an avalanche, he took it in stride outside of letting out a loud yell, and simply used his "deceased" status and decreased army to infiltrate the palace.
Shan Yu is also notable for being one of the only people in the movie who does not underestimate women. As soon as he recognizes that Mulan is "the soldier from the mountains" he forgets about Li Shang, considering him to be insignificant in comparison, and tries to kill Mulan instead.