Williams, 33, who won the tournament in 2000 and 2001, has fallen to No. 60 in the world rankings while battling an auto-immune disease.
Zheng, ranked 56th, won 6-3, 2-6, 7-6 (7-5) in three hours, one minute on the Louis Armstrong Stadium court at the National Tennis Center in New York.
Williams, whose career has included seven Grand Slam singles titles among her 44 tournament wins and has more than $28.7 million in winnings, was playing in her 60th Grand Slam tournament -- most among active players.
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