Peng made sexual assault allegations in early November against Zhang Ghaoli, the ex-vice-premier and member of the Chinese Communist Party's Politburo Standing Committee, and has not been seen in public since.
She posted the allegations on Chinese social media site Weibo, though her post has since been removed and her whereabouts have been unclear.
The International Olympic Committee (IOC) has held two video calls with Peng, including one on Thursday, but the WTA chairman Steve Simon said neither the first call nor an email allegedly received from the tennis player alleviated concerns.
The WTA, who run the women's tennis tour, suspended its upcoming tournaments in China on Wednesday amid continuing concerns over Peng's safety and Djokovic agrees with the organisation's stance.
"I support fully the WTA's stance because we don't have enough information about Peng Shuai and her well-being," the men's world number one said.
"I think the position of the WTA is very bold and very courageous."
The IOC said it will hold a "personal meeting" in January with Peng as they released a statement on the same day as the second call to repeat the message of the "quiet diplomacy" route that was being taken with Chinese sport bodies.