Peng has been widely considered as missing since making sexual assault allegations against Zhang Gaoli, the ex-vice premier and member of the Chinese Communist Party's Politburo Standing Committee.
The two-time doubles grand slam winner posted the allegations on social media site Weibo, though her post has since been removed.
But she now claims there had been "a lot of misunderstandings" about the post.
In a video interview posted by Singaporean Chinese-language newspaper Lianhe Zaobao, Peng said: "First, I need to stress one point that is extremely important, I have never said or written that anyone has sexually assaulted me, I have to clearly stress this point."
Peng, who seemed surprised by the interview's questions, also said: "Why would anyone monitor? [I have] always been very free."
Peng was speaking at a sporting event in Shanghai in what was the first time she has addressed the alleged incident publicly on camera.
The International Olympic Committee (IOC) said it had twice spoken to Peng before and the Women's Tennis Association (WTA) welcomed the IOC's pictures, which showed the 35 year-old speaking to IOC president Thomas Back via a video call, but suspended its upcoming tournaments in China owing to its ongoing concerns.
That decision came after WTA chairman Steve Simon said he struggled to believe Peng had sent him an email that claimed the sexual assault allegations were false and that she was safely at home.
Peng, however, said she had written the email in Chinese herself, and that the English translation of the message to Simon published by Chinese state media was accurate.