Former world number one Wozniacki took the first set 6-2 and had a match point during the next set. However, qualifier Wang eventually forced a deciding set with a 7-1 success in a tie-breaker.
The final set belonged to 21-year-old Wang, who ran out a 6-1 victor to book her place in the next round of the competition.
"I tried my best but I just didn't have energy. I didn't take my opportunities. I called for the doctor and the physio to massage my legs. Not much more they could do. I hope to come back again next year," Wozniacki said after the match.
Dane Wozniacki is ranked 10th in the latest standings.