At the age of eleven, he was chosen by Madame Mao's cultural advisors to attend the Beijing Dance Academy, where students had to undergo 16-hour-a-day training.

He offered a full scholarship for two dancers to study at the Houston Ballet summer school and Li was chosen as one.

(Li was one of the first students from the Beijing Dance Academy to go to the United States under financial support from the central government of the People's Republic of China.

After 21 hours of negotiations, and intervention by George Bush Sr. (U.S. Vice President at the time), Li was allowed to stay in the US as a free man, but his Chinese citizenship was revoked.

[9] On 20 June 2023, Li announced that he and his wife Mary would retire at the end of 2023, her being in the teaching position as principal repetiteur with the ballet company.

[12] In July 2016, Barbara Baehr and Robert Whyte from the Queensland Museum named a newly discovered spider species Maratus licunxini after Li Cunxin.

[13] Dr Baehr said a Queensland Ballet performance of Li Cunxin's A Midsummer Night's Dream reminded her of the stunning mating display of the peacock spider.

[17][18] In the 2019 Birthday Honours, Cunxin was appointed officer (AO) of the Order of Australia for "distinguished service to the performing arts, particularly to ballet, as a dancer and artistic director".

On Mondays, Wednesdays and Fridays he worked at the stockbroking firm from 7:30am till noon when he arrived at the Australian Ballet for rehearsals and to prepare for performances.

Li retired from ballet in 1999 at the age of 38 and joined Bell Potter Securities to establish its Asian desk.

[7] On 20 June 2023, Li announced that he and Mary would retire at the end of 2023, she from the teaching position as principal repetiteur with the ballet company.