According to eyewitnesses, Yun, 48, drove from the second lane of Gwanghwamun Square, suddenly turning toward the embassy.
The man reportedly cried, "Help me, help me," as he left the car.
"I wanted to leave the country and go to the United States," he said to the police.
The police said that blood alcohol tests have revealed no signs of intoxication.
At least one person has been injured in the car ramming, according to reports. No additional information regarding the victims has yet been released.