Shum, now 36, says the highlight of his dance career came when he performed back-up for Beyoncé, Alicia Keys and Missy Elliott during their co-headlining tour, "Ladies First," in 2004. Beyoncé was touring for the first time as a solo artist.

Before starring in "Glee," the planned sequel to "Crazy Rich Asians" and Freeform TV's "Shadowhunters," Shum was a dancer, touring with artists and appearing in films like "You Got Served" and "Step Up 2."

Beyonce is known for her show-stopping performances, and actor Harry Shum Jr. knows just how she's able to pull those off.

Shum says he admired Beyoncé's talent and leadership ability, especially the way she doled out constructive criticism.

"I remember one time I walked, I ran in front of her...during rehearsals," Shum tells CNBC Make It. "And it was just like a simple misstep and she named every single misstep from every dancer. And to me it was like, she wasn't even looking at me and she could just feel that energy of walking on the wrong step.

"To me, it's like this woman is really special because she has this essence that is so sweet in the way she tells you you're doing something wrong, but at the same time it's commanding, so she lifts you up to be better."

Shum says the "Single Ladies" singer kept team morale high.

"When you're a backup dancer in the sense that — she didn't make you feel like that," he said. "She made you feel like part of the whole performance and you yourself are a performer with her. And she set this standard of excellence that we had to hold on to.

"To me, it was a dream come true, being a dancer on that."