In a post on Chinese social media site Weibo, Peng said she was "forced" into a sexual relationship with Zhang Gaoli.
"The events concerning Peng Shuai are of deep concern," said the WTA.
"The allegations must be investigated fully, fairly, transparently and without censorship."
Peng, 35, is a former world number one doubles player who has won two Grand Slam titles - at Wimbledon in 2013 and the 2014 French Open, both alongside Taiwan's Hsieh Su-wei.
