Li, ranked No. 3 in the world, had two breaks in the first set and three more in the second in beating Peng for the sixth time in seven career meetings. She was a 6-4, 6-0 winner in the 2013 Shenzhen semifinals in their last match.
Li broke up Saturday's match by taking seven of eight games to turn a 3-4 first set into a 6-4, 4-1 lead. Peng, the fifth seed at Shenzhen, answered by taking four straight games but Li claimed the last three.
It was the eighth WTA title for Li but first since she won at Shenzhen last year. She had three runner-up finishes, including at the Australian Open and the WTA Championships, between those titles and is 8-11 in finals overall.
Peng has made title matches six times but is yet to win a WTA tournament.
The Shenzhen title comes with $111,163 for Li. She's won about $13.4 million in her career. Peng's career winnings total $4.8 million after she collected $55,323 Saturday as the tournament runner-up.