World number seven Li, who won the 2011 French Open, looked in danger of disappointing the home fans after surrendering her serve in the first game of the deciding set.
Li, who beat fellow Chinese Peng Shuai 6-4 6-0 in Friday's semi-finals, hit back to win five of the next six games but from 5-2 up allowed fifth seed Zakopalova to draw level at 5-5.
In a topsy-turvy finish encapsulating the match, Li collected herself to put together two solid games and give her a boost ahead of the Australian Open, which begins on Jan. 14.
Li reached the final of the year's first grand slam in Melbourne in 2011 before going on to become China's first major singles champion in Paris.
Saturday's victory was Li's second WTA title in China, following her breakthrough at Guangzhou in 2004 when she became the first Chinese winner on the women's tour.
The $500,000 Shenzhen tournament became the third event in China on the WTA calendar for 2013 as tennis continues to expand in the country after Li's recent success. (Reporting by Alastair Himmer in Tokyo; Editing by John O'Brien)
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