The two-time grand slam champion, who retired from tennis in 2014, chose to start spreading the news about her pregnancy at the Australian Open in the Rod Laver Stadium.
"Me and Dennis, we are so excited," the 32-year-old Li said, referring to her husband, in an on-court ceremony at the Melbourne tournament where she won her second grand slam in 2014.
"I think Dennis is doing a good job," she added, before quipping, "He just made one ace."
Often the butt of Li's sense of humor, her husband was in the stands as China's pioneering tennis player revealed the impending arrival of the couple's first child this summer.
After retiring in September 2014
due to chronic knee problems, the tennis star has made having a family a priority, telling CNN's Pat Cash in an interview on Sunday that "family for me is the most important thing."
Li triumphed at both the French (2011) and the Australian Open (2014) to become the highest ranked Asian player the world has seen, peaking at number two in the world..
She later took to Facebook to talk more about her excitement at the prospect of becoming a mother.
"This summer, Dennis and I are expecting our first child. We are overjoyed!" she wrote.
"I've been feeling great and Dennis and I have been doing some traveling and enjoying this special time in our lives. We can't wait to become parents and start this new chapter together."
Referring to the Melbourne crowd, she added: "It really feels like this baby is going to enter the world already having about 15,000 friends."
Not just 15,000 friends -- there's also China's 1.3 billion population after Li's sporting success made her a household name in the country of her birth.
It's estimated that over 100 million Chinese watched the live TV coverage of her 2011 French Open win, reportedly the biggest TV audience for a single sports event in China.
Back at the Australian Open all eyes were on Li after decision to announce her news at the Melbourne event.
"I look forward to spending a few more days in Australia and wish all of the players and the tournament the best of luck! I can't wait to be back!" she added on Facebook.