The third seed, Sindhu, lost 17-21, 21-16, 18-21 against Zhang in a difficult first match that lasted 56 minutes.
This is the third time in a row that Sindhu loses against Zhang. The American shuttle beat Sindhu in the final of the Indian Open in February earlier this year.
Sindhu, silver medalist at the Rio Olympics, is going through a difficult phase after winning the silver medal at the Asian Games in Jakarta.
She was eliminated in the second round of the Japan Open after a defeat against Gao Fangjie.
The scenario was similarly unfolded at the China Open, where the 23-year-old lost 11-21, 21-11, and 15-21 against world No. 6 Chen Yufei of China in the quarter-finals. .