The Shenzhen Kunlun Red Star were founded in 2017 and joined the Canadian Women's Hockey League (CWHL) for the 2017–18 season.

In an effort to reinforce the link between the Kunlun Red Star men's and women's programs, the team returned to its original name, Shenzhen KRS (Russian: Шэньчжэнь КРС), in 2022.

Kelli Stack and Baiwei Yu both earned assists on the first goal in Kunlun Red Star history, scored by Zoe Hickel.

Rob Morgan, who served as the head coach of the Vanke Rays during its only season was named as the general manager for the consolidated club.

In response to heightened entry restrictions in Russia amid the COVID-19 pandemic, the team temporarily relocated to Stupino, a Russian town in Moscow Oblast, for the 2020–21 season.

While in Stupino, the team's temporary home arena was the Ice Palace V. M. Bobrova (Russian: Ледовый дворец спорта им.

Their temporary home was Mytishchi Arena, which they shared with Kunlun Red Star of the Kontinental Hockey League (KHL).

[19] On July 28, 2023, the club announced that they would not play in the ZhHL during the 2023–24 season, "due to the participation of players of the Chinese national team in the domestic championship of the country.

"[3][20] The Chinese Ice Hockey Association established a domestic league in 2023 and Shenzhen KRS will be one of six teams participating in the inaugural season.