Peng, 35, has not been heard from since she made sexual assault allegations against a leading Chinese government official two weeks ago.
Chinese state media has released an email attributed to Peng, but doubt has been cast about its authenticity.
"I hope she is safe and found as soon as possible," said Williams.
Concern for Peng's welfare has continued to grow since she said she was "forced" into a sexual relationship with former China vice-premier Zhang Gaoli.
The allegations were made in a post on Chinese social media site Weibo on 3 November and soon deleted from China's internet.
It is the first time such a claim has been made against one of China's senior political leaders.
Steve Simon, chairman of the Women's Tennis Association, said Peng deserved "to be heard, not censored" on the allegations.
On Wednesday, he cast doubt on the email released by Chinese state media, saying it "only raises" concerns about Peng's safety.
Williams is one of many leading players to speak out about Peng's welfare, following men's world number one Novak Djokovic and Japan's four-time major winner Naomi Osaka.
"I am devastated and shocked to hear about the news," said Williams, who is a 23-time Grand Slam singles champion.
"This must be investigated and we must not stay silent.
"Sending love to her and her family during this incredibly difficult time."
China's #MeToo movement gaining momentum
Peng is a former world number one doubles player who has won two Grand Slam titles - at Wimbledon in 2013 and the 2014 French Open, both alongside Chinese Taipei's Hsieh Su-wei.
She also achieved a career-high singles rankings of 14 in 2011 and reached the US Open singles semi-finals in 2014.
Peng, who has not played on the WTA Tour since March 2020, acknowledged she would not be able to provide proof to back up her claims.
Her allegation is the highest-profile incident in China's #MeToo movement.
Zhang, 75, has not responded to Peng's claims. He served as China's vice-premier between 2013 and 2018 and was a close ally of President Xi Jinping.
On Thursday, Chinese foreign ministry spokesman Zhao Lijian said he was "not aware of the relevant situation" when asked about it by a reporter.