Li, the No. 1 seed and defending tournament champion, got by Monica Niculescu 7-5, 4-6, 6-4 by posting three of her five match breaks in the third set. Li suffered two of her four breaks in the final set but was able to advance.
Peng, seeded No. 5, had five breaks in a 6-3, 6-2 win over Jana Cepelova. She won two-thirds of the points on serve and only saw two break points, although she lost both.
Li and Peng met in last year's Shenzhen semifinals but are in different halves of the draw in this time around.
Li draws eighth-seeded Annika Beck in Friday's semifinals. Beck defeated Patricia Mayr-Achleitner 3-6, 6-3, 6-1, taking 65 percent of the points in the third set on Thursday.
King goes against Peng in the first semifinal Friday. Peng won a three-set decision over King in 2010 in their only previous match. The semifinal pairing between Li and Beck marks the first time the two will have played a WTA match.