In her 30th year on tour, Williams was seeking a quarter-final berth for the first time since August 2019.
Against an opponent who was only just born when Williams made her professional debut the fairy tale looked on, with the American on song for much of the third set, with trademark power off both wings and impressive defensive scrambling.
But her serving faded and her accuracy dipped, while Zhu, who eliminated sixth seed Madison Brengle in the first round, kept the rallies long.
But the presence of Williams should be celebrated; a legend playing for sheer love and still able to compete.
She is a marvel, who defies everything we know about high performance sport.
When she played her first professional match, Jim Bolger was Prime Minister, Bill Clinton was in the White House and Laurie Mains was All Blacks coach.
It was October 1994.
Almost three decades later, Williams is still going.
Her achievements are widely recognised - seven grand slam titles, nine other final appearances (beaten by her sister Serena in seven) and 49 WTA singles titles - but it is her longevity that is most startling.
When Williams reached the 2017 Wimbledon final, it marked the longest span between major finals in Open era history, since she made the 1997 US Open climax.
She was good enough to reach the last four at Indian Wells in 2018, then the 2019 ASB Classic quarter-final.
That was expected to be her final bow in Auckland, but four years later she is still going.
It’s not just about her age – but also her lack of court time.
The California native only played four matches in 2022, just 12 in 2021 and nine in 2020.
The match started outside, after forecast rain dissipated.
In swirling wind, Williams was broken in her first game. Zhu saved a break point in the next game, then Williams held before rain intervened, with the players leaving the court at 1:10pm.
They returned almost an hour later, with the players trading quick breaks.
From there, Williams took the initiative. Her confidence was demonstrated with a precise winner to defend a break point, before a big second serve wrapped up the first set.
A Williams double fault gifted an early second set break, as Zhu raised her levels.
The Chinese player managed a crucial hold at 3-1, in a game that featured a couple of unfortunate net cords for the American.
At 4-2, 15-15, the drizzle returned and the players left the court at 3:25pm.
Organisers then announced the match would shift indoors from 5pm – a shame for the hardy spectators - which then slipped to 5:45pm.
Zhu was quickest to get going, wrapping up the second set with a break.
But the two time Auckland finalist rebounded, grabbing a crucial break in the fifth game of the final set.
There were some contentious calls during the third set, with no capacity for Hawkeye challenges on the temporary courts.
Williams showed real emotion as she neared the finish line – with a couple of ‘C’mon’ cries – but then started to tire.
Serving for the match at 5-4, she slipped to 0-40, with Zhu then converting her second break point.
The flashpoint came in the next game, as the 28-year-old Chinese showed real tenacity with a vital hold – fending off four break points – which heaped pressure back on Williams, who was unable to hold to force a tiebreak.
In other matches on Thursday, seventh seed Danka Kovinic eliminated 2017 Auckland champion Lauren Davis 4-6 6-3 6-2 while Spanish qualifier Rebeka Masarova continued her run with a 6-1 6-4 victory over Russian Anna Blinkova.
