Two-time grand slam doubles champion was reported to have been missing since making sexual assault allegations against Zhang Gaol, the ex-vice premier and member of the Chinese Communist Party's Politburo Standing Committee, more than three weeks ago.
The Women's Tennis Association (WTA) welcomed pictures that showed Peng on a video call with International Olympic Committee (IOC) president Thomas Bach, but say the images do not alleviate its concerns about her wellbeing.
According to the IOC, Peng said she is "safe and well" in the call on Sunday and the 35-year-old spoke to president Bach for half an hour.
Despite footage released by Chinese state-run media on Saturday purporting to show Peng in a restaurant with friends, followed by images of her at a youth tournament on Sunday, concerns have continued to be raised regarding her safety.
Serena Williams, Naomi Osaka and Novak Djokovic are among many fellow players to have issued a plea for answers over Peng's whereabouts.
Human rights group Amnesty International stated the IOC is "entering dangerous waters" by taking part in a call with Peng and "should be extremely careful not to participate in any whitewash of possible human rights violations."
There was a firm message from China's foreign ministry on Tuesday, declared the issue is "not a diplomatic matter".
"I believe you have all seen that she recently attended some public events and had a video call [with IOC president Bach]," spokesman Zhao Lijian told reporters.
"I think some people should stop deliberately and maliciously hyping [the issue] up, let alone politicise this issue."