Williams opened strong, hitting six aces and earning two early breaks to take the first set.
Sharapova broke at love to even the score at 2-2 in the second set, but she quickly squandered her break with a costly sixth double fault to fall behind for good. Williams sealed her seventh straight win over Sharapova with an emphatic slam.
"Playing Maria, you have to be really ready because she does everything really well," Williams said. "I felt relaxed out there, and when I play relaxed, I play better."
Azarenka, who has won four titles this season, used her powerful groundstrokes to take a 4-0 lead in the second set before holding off Li's late charge.
"You feel unstable sometimes, actually, a lot of times," she said. "But right now, there is no point on talking about it. After the tournament, all the players can get together and discuss it."