He and his family left Germany for Moscow when the Nazis took power in 1933, where Wolf came into intense contact with Soviet film. At age 10, he played a minor role in the film Kämpfer, filmed among the German Communist emigrants in Moscow. He and his brother attended the Karl Liebknecht School in Moscow. At age 17 he joined the Red Army and in 1945, he was among the first troops to reach Berlin. He remained in the Soviet Army until 1948. He later described these events in the 1968 film, Ich war neunzehn (I Was Nineteen).
Shortly after the war, Wolf returned to Moscow, where he studied at VGIK. His 1959 film Sterne (German: Stars) won the Special Jury Prize at the 1959 Cannes Film Festival. In 1961, his film Professor Mamlock was entered into the 2nd Moscow International Film Festival where it won the Golden Prize. His 1971 film Goya or the Hard Way to Enlightenment was entered into the 7th Moscow International Film Festival where it won a Special Prize.
He was married to the actress Christel Bodenstein from 1960 to 1978.