"I always try to be the first one," Li said. "Of course it was exciting. I was really proud of myself because it's the last Grand Slam of the year, but I'm still fighting a lot on the court to try my best."
The 31-year-old fifth seed from Wuhan fought back nervous feelings to defeat Russian 24th seed Ekaterina Makarova 6-4, 6-7 (5/7), 6-2 in a Tuesday quarter-final at Arthur Ashe Stadium.
In some ways, the achievement is hers alone, taking the court alone in one-on-one battles with some of the other top players in the world.
But Li is helped by a crucial team of talent, including her former coach and practice partner, husband Jiang Shan, plus fitness trainer Alex Stober and coach Carlos Rodriguez, who began guiding her after Wimbledon last year.
Li credits Rodriguez, the former coach of retired star Justine Henin, with saving her marriage, because she had trouble balancing Jiang in a dual role as a coach who needed to criticize and a loving husband she needed for support.
"Carlos saved my marriage," Li said. "I don't know how it is for other women, but for me it's tough to find a balance between husband and coach.
"When he was coach, he was training me so hard on the court, I would say, 'You're my husband. Why are you training me so hard?' So is problem for me."
Now Li says she solves the problem by tuning out her husband, unless he says his advice is from Rodriguez.
"At least if he says something I will listen," Li said. "But if my husband is coach, he say something, I never listen. I just say, 'OK, pass, next one.'
"So even now my husband wants to say something to me, for sure he will say, 'Oh, this is what Carlos says.' I say, 'OK. I'll listen.'"
Li enjoys Rodriguez, crediting him with helping calm her nerves before a fourth-round victory over Serbian ninth seed Jelena Jankovic.
"It's pretty good working with him," Li said. "Especially in the winter training, we talk a lot. I'm feeling pretty happy with the way we're communicating."
Even Li's sponsors are getting into the mix, one notably after hearing that Li was having a problem with Jiang's snoring.
"Now that I have a hotel sponsor, I think this is no problem at all," Li said. "Sometimes I was feeling if he didn't do the snore, I was like, 'What happened? What's going on?'"
Sometimes a snore is reassuring after long travel from China to other parts of the world and time changes that have her flying into events almost a week early in order to acclimatise.
"I'll try to be there four or five days earlier because at least I will not have jet lag, so I need to use the time to change that. It's what I have to do if I want to give 100% to win the tournament."