Having seen top seed Lee Chong Wei progress in routine fashion on the opening day of the tournament in Copenhagen, Chen followed suit with a 21-8 21-10 success against Luka Wraber of Austria.
The Chinese needed just 36 minutes to book his place in the second round - limiting his opponent to just three consecutive points in the match.
Li - runner-up at the worlds last year - was just as convincing in her opening fixture, having been handed a bye through the first round.
The 23-year-old number one seed brushed aside Kristina Gavnholt of the Czech Republic 21-13 21-17, with Thailand's Ratchanok Intanon - ranked fourth - seeing off Beatriz Corrales 21-18 21-10.
Intanon's compatriot Nichaon Jindapon was a surprise exit as the 14th seed threw away a one-game lead to bow out 15-21 21-13 21-9 against Indonesia's Lindaweni Fanetri.
However, there were no such shocks for the likes of Ji Hyun Sung, Saina Nehwal, Li Han, Minatsu Mitani and Sayaka Takahashi, who all progressed.
Back in the men's side of the competition, fourth seed Kenichi Tago's competition is over as he was forced to hand a walkover to Ajay Jayaram, although Tommy Sugiarto and Wan Ho Son moved through against Zi Liang Derek Wong and Brice Leverdez respectively.
Yun Hu ended the campaign of Brazil's Alex Yuwan Tjong with a 21-15 21-17 win.
Home favourite Hans-Kristian Vittinghus is safely into the second round with a 21-17 21-11 win over Jen Hao Hsu, while 11th seed Houwei Tian came through against Takuma Ueda after an hour and 14 minutes on court.
There were also wins for Sattawat Pongnairat, Tanongsak Saensomboonsuk and Vladimir Malkov, while Marc Zwiebler will meet Chen next thanks to a 21-18 21-11 win against Niluka Karunaratne of Sri Lanka.
India's Kidambi Srikanth came through against Iztok Utrosa before Rajiv Ouseph of England accounted for 16th seed Wei Feng Chong.
Eric Pang and Yuhan Tan picked up wins against Mathias Borg and Jan Frohlich respectively and Ville Lang saw off Misha Zilberman to complete the draw for the last 32.