"We're both from the south ... and very fascinated by a winter sports competition in Shanghai - we felt like children again," he added in response to a question from CNN.
"She was in pretty good shape that day. We all talked happy and asked a lot of questions about the sport as we were not familiar with it."
On December 19, a state media journalist posted a picture and a clip of Yao and Peng together on a cross-country trip in Shanghai a day earlier, where they appeared to be talking and smiling. The photos were shared on Twitter, which is blocked in China.
Peng, 36, a former Wimbledon and French Open doubles champion, has been at the center of an international storm since she accused retired Deputy Prime Minister Zhang Gaoli, 75, of forcing her into sex during a years-long on-off relationship in a long-term relationships. online posting in November.
Government censors quickly scrubbed her posts from Chinese social media, and she disappeared from the public eye.
In the midst of a growing international outcry, people connected to state media or the state sports system have posted several photos on Twitter showing Peng out and about, as well as an email allegedly written by her, insisting that "everything is in order."
When asked if she has been able to move freely or was concerned about her safety, Peng said she "has always been free" and that she has lived in her home in Beijing.
Yao, who is now president of the state-affiliated Chinese Basketball Federation, did not address Peng's claims, which remain a taboo subject in China.
The Women's Tennis Association (WTA) has continued to call for a thorough and transparent investigation into Peng's claims and suspended all tournaments in China for her safety.
As deputy prime minister, Zhang served on the seven-member standing committee of the ruling Communist Party in the Politburo - the country's top governing body - along with President Xi Jinping from 2012 to 2017. He retired from his post in 2018.
In the past, CNN had repeatedly contacted both Peng and the Chinese Prime Minister's Information Office, which handles press inquiries to the central government.
"Visiting China Can Change Many Perceptions"
Yao said he does not know Freedom or how the Celtics star formed his opinion of China, but invited him to visit the country.
"I or other basketball fans can be his guide across China - and it can help him see a more complete picture of China," he said.
"Sport builds bridges and there will definitely be traffic on bridges - so sometimes we see collisions. It can take some time to solve some problems and I think time will solve many of them. But we want to keep the bridges intact. "
"The Games provide a platform for athletes and sports enthusiasts - and that's the most important thing," he said.
"If you hear something negative (about the games), you might listen to what they have to say and see if they have a point - and then decide if it's something worth listening to."
"To see is to believe - visiting China can change many perceptions," he added. "I lived in the United States for 10 years - and (what I experienced) differed from what I had read about the United States in books when I was a child."