Victoria Azarenka won 4-6, 6-4, 6-3 and retains the World No.1 ranking as a result, when defeat would have seen Serena Williams take the top spot.
The match was stopped three times, twice when sixth seed Li rolled her ankle and took medical timeouts, and once for a fireworks display.
The first set began with the finalists trading breaks before Li held and broke Azarenka to go 3-1 ahead. Li served for the set at 5-4 but crumbled and was broken to love. Azarenka's errors in the very next game handed her opponent the first set as the Belarusian double-faulted on set point.
Azarenka sprinted to a 3-1 lead in the second set, when the Chinese rolled her ankle for the first time. The problem restricted Li's movement and Azarenka managed to close out the set despite frequent mistakes.
Li's ankle injury struck again in the decider with the sixth seed 2-1 ahead and she hit her head hard on the court as she fell, prompting doctors to check her for signs of concussion.
The Chinese No.1 then surged back in the next game, taking Azarenka to break point before the Belarusian held serve. But Li was then easily broken on her next service game, setting the stage for Azarenka to close out the match.
Li was the crowd favourite throughout, with many spectators angry over a controversially-timed medical break for Azarenka in her semifinal win over Sloane Stephens.
The men's singles final is Sunday with World No.1 Novak Djokovic facing third seed Andy Murray.