I contacted tech support by email, and they helped me fix it. Thanks a lot!!!
I'll post the solution here, in case anyone else has the same issue.
1）Reset the lamp (in my case, hold reset button until it start "breathing"), and check if there's AP named like "yeelink-light-***" in your phone's wifi list. If there isn't, it means there's something wrong with the wifi module of the lamp.
2）In Yeelight/MiHome application, add the lamp you want to connect. Make sure there's no special character of your router's password. If it still can't connect, see step 3.
3）Look for the lamp in your router's DHCP list. If it's there, it means there's something wrong with connection between your router and Mi cloud. Please have a check with your ISP if it blocks some domain of xiaomi.
If it isn't there, (in the DHCP list), it means the lamp has problems to connect to your router. Check if your router blocks the lamp or your router has too many devices connected (max).
4) In my case, the lamp was in the router's DHCP list, and my ISP said there was no blocking. It turned out to be the DNS of my ISP. I switched to Google public DNS 18.104.22.168, reset all, and it connected immediately.