True-crime is a popular genre of documentary these days, yielding multiple Emmy wins for nonfiction series like “The Jinx,” “Making a Murderer” and “Wild Wild Country.” But they haven’t been as common at the Oscars. The tragic story chronicled in “Finding Yingying” could change that.

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“Finding Yingying” tells the story of the disappearance of Chinese graduate student Yingying Zhang attending an American university, after which her family travels to the US from their home country to learn what happened to her. But while it deals with crime, it’s not just a procedural about the justice system. It’s also personal, as director Jenny Shi embeds with the Zhang family and draws parallels between herself and Yingying: they were the same age and both attended Peking University in China before traveling to the US.

The film was set to...