In a video, Peng said "people have many misunderstandings" about a post alleging sexual assault on social media site Weibo, which had been quickly removed, but WTA remains unconvinced.
Chinese tennis star Peng Shuai has denied alleging that a senior Communist Party leader sexually assaulted her and insisted she is living freely.
However, the comments in her first media interview since her accusations did not ease worries at the Women's Tennis Association, which said Monday that it still had "significant concerns about her well-being and ability to communicate without censorship or coercion".
In comments to Lianhe Zaobao, a Singaporean Chinese-language newspaper, Peng denied making the allegation.
"I would like to stress a very important point: I have never said nor written anything accusing anyone of sexually assaulting me," the 35-year-old said in footage apparently filmed on a phone at a sports event in Shanghai.
"I would like to emphasise this point very clearly."
In the Zaobao video, when asked about the post on China's Twitter-like platform Weibo, Peng said it was a "private matter" that people had "many misunderstandings" about.
She did not elaborate.
In the video, a person is heard asking if she is able to move around freely and if she has been under surveillance since making the accusations.
Peng responded that she has "always been very free".
The latest video follows images of Peng published by Chinese state media, including some of her at a tennis tournament.
They also published a screenshot of an email Peng purportedly wrote to the Women's Tennis Association saying "everything is fine".
Dressed in a red T-shirt and dark down jacket, both with "China" emblazoned on them, Peng told Zaobao that the email was legitimate and written "entirely of my own free will".
In the shaky footage, Peng appears to speak with Chinese basketball star Yao Ming at a skiing event.
Hours earlier, unverified images posted online by a Chinese state–affiliated journalist showed Peng speaking with Yao and two other Chinese sports figures– Olympic sailing champion Xu Lijia and retired table tennis player Wang Liqin.
But that did little to ease worries.
The WTA said it was still not convinced of Peng's wellbeing.
WTA chief Steve Simon said at the time he had "a hard time believing" Peng's email and questioned whether she was really free to speak openly.
"We remain steadfast in our call for a full, fair and transparent investigation, without censorship, into her allegation of sexual assault," the organisation said in a statement emailed to AFP news agency.
The WTA has suspended all tournaments in China, including Hong Kong, over concerns about Peng.
Sexual assault allegations
Previously, In a post on Weibo, Peng had alleged that former vice-premier Zhang Gaoli – who is in his 70s – coerced her into sex during an on-off relationship spanning several years.
The post was quickly scrubbed from the Chinese web, but not before screenshots were posted on Twitter, setting off a global outcry.
The former Wimbledon and French Open doubles champion's quickly-censored social media post last month sparked international concern, including from the United Nations, the White House and fellow tennis stars.