New world number one Sabalenka beat the Chinese seventh seed 6-3 6-4 in Riyadh, Saudi Arabia.
Sabalenka has won all five of her meetings with Zheng, including four this year, leading Chinese fans to nickname the Belarusian “the mountain that Zheng is yet to overcome”.
Sabalenka beat Zheng in the Australian Open final in January and won her third Grand Slam singles title at the US Open in September. She has never claimed the WTA Finals title – something she said on Saturday was “one of my dreams”.
“It would mean everything to me. I really worked hard the past years since the very beginning of my career,” the 26-year-old said.
“I really hope I’ll be able to hold this beautiful trophy one day.”
Jasmine Paolini beat Elena Rybakina 7-6 (7-5) 6-4 in the second match of the Purple Group on Saturday.
Round-robin matches in the Orange Group – consisting of Iga Swiatek, Coco Gauff, Jessica Pegula and Barbora Krejcikova – begin on Sunday.
The tournament is being held in Saudi Arabia for the first time – a move which has been criticised by some because of the country’s human rights record.
Sabalenka is the heavy favourite for the title, having replaced Iga Swiatek at the top of the world rankings in October.
She has won four titles this year including last month’s Wuhan Open, where she beat Zheng in the final.
However, Zheng has had a successful year of her own, culminating in winning Olympic gold on the Paris clay in July.
The pair were evenly matched in the opening stages before Sabalenka, the heaviest hitter in the women’s game, pounced to break for 4-2 and ultimately serve out the set.
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