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.
The outcry over the tennis star’s apparent disappearance from the public eye prompted Chinese state media to release a series of photographs and videos that appeared to show all was well.
Earlier on Sunday, a state media journalist posted a video clip on Twitter showing Ms Peng smiling while standing with officials at a tennis tournament in Beijing.
Reuters news agency reported that the event organisers also published photos of the player on the event’s official WeChat page.
But a spokesperson from the Women’s Tennis Association (WTA) told Reuters the videos were “insufficient” evidence of her safety and did not address its concerns about Ms Peng.
And later on Sunday, the WTA said in a fresh statement that the recent videos “don’t alleviate or address the WTA’s concern about her wellbeing and ability to communicate without censorship or coercion”.
“This video does not change our call for a full, fair and transparent investigation, without censorship, into her allegation of sexual assault, which is the issue that gave rise to our initial concern,” it said.
Ms Peng – a former number one-ranked tennis doubles player – posted an allegation about former Vice Premier Zhang Gaoli on Chinese social media site Weibo in early November.
She alleged she was forced into sexual relations with Mr Zhang, in a post that was taken down minutes later. It was the first time such a claim has been made against one of China’s senior political leaders.