In a statement, the IOC said its President Thomas Bach had spoken to Ms Peng for 30 minutes.
"[She] was doing fine, which was our main concern," the statement read.
Ms Peng, 35, disappeared from the public eye for almost three weeks after she made sexual assault allegations against a senior Chinese minister.
Her absence triggered widespread concern, with international sports stars and governments calling on China to provide proof that she was safe.
"At the beginning of the 30-minute call, Peng Shuai thanked the IOC for its concern about her wellbeing," the statement from the organisation said.
"She explained that she is safe and well, living at her home in Beijing, but would like to have her privacy respected at this time," it added.
"She prefers to spend her time with friends and family right now," it said. "Nevertheless, she will continue to be involved in tennis."
The IOC statement also included an image of the video call taking place, with Ms Peng seen smiling to the camera.
Photo source IOC Caption: IOC President Thomas Bach spoke to Ms Peng for 30 minutes on Sunday