Peng was leading 6-2, 1-3 when the chair umpire announced the Chinese player could not continue due to illness. Tournament officials later said she was suffering from dizziness.
Peng, who has a history of heart problems, spent an extended time with a trainer after Wozniacki asked for a coach while leading 3-0 in the second set.
WTA officials said Peng was examined by medical personnel after the match, but had no further details.
The 27-year-old pursued a pro tennis career despite having heart surgery when she was 12 years old. Her ordeal was the subject of an adidas advertising campaign "Impossible is Nothing."
"She felt a bit dizzy and obviously from the flight and everything, she played the doubles finals in Cincinnati last night," Wozniacki said. "Flying in here and having to play the same day is obviously tough."
Peng broke Wozniacki twice in the first set. But Wozniacki seemed to turn things around in the second game of the second set, which included seven deuces and Peng holding an advantage five times.
Wozniacki, seeded fourth in the tournament, improved to 21-1 in her six years in New Haven. Her only loss here came in last year's semifinals when she retired due to a knee injury.
"It's a great tournament for me, what else can I say," she said.
Earlier, American Sloane Stephens beat Anna Schmiedlova of Slovakia 6-4, 6-4, The sixth-seeded Stephens, the top-ranked American in the draw, broke Schmiedlova in the third game of the match, while reeling off 13 straight points. The two traded breaks in the second set until Stephens held serve to go up 4-2.
Stephens, who beat Serena Williams to reach the semifinals of the Australian Open in January and made the quarterfinals of Wimbledon in July, came into the match ranked 17th in the world.
Two years ago, she came into New Haven ranked 110th and lost in qualifying.
Stephens said she's been able to stay grounded with the help of some friends, including tennis legend Billie Jean King, who sends her texts before every big match.
"She says 'pressure is a privilege,'" Stephens said. "I think it's one of the strongest statements I've heard."
Fifth-seeded Roberta Vinci of Italy was the tournament's first upset victim, falling 7-5, 6-3 to Carla Suarez Navarro. The Spaniard will next play Romanian Simona Halep, who beat Daniela Hantuchova of Slovakia, 6-2, 6-1.
The 21-year-old Halep has already won three tournaments this year and is coming off an appearance in the quarterfinals in Cincinnati, where she lost to Williams. Halep feels she's peaking at the right time.
"My game it's very good now; I have more confidence in me," she said. "I have to enjoy (next week's) U.S. Open, because at the Grand Slams, I didn't play so well this year."
Defending champion Petra Kvitova was to play Poland's Urszula Radwanska in the final match of the day. But Radwanska was forced to withdraw with what was described as a viral illness and was replaced by Annika Beck of Germany.
The match was then postponed a day because of rain, which also delayed the start of the Peng-Wozniacki match by two hours.
Kvitova, who has made the quarterfinals of the last three events she played, is using this tournament to help prepare for the humidity in New York next week, which she says wreaks havoc with her asthma.
"I never like playing in America, because of my asthma," she said. "But last year I played quite well, I won two titles, so it was a pretty good year, so I know that I can play good here."