Kunlun Red Star

Canadian Women's Hockey League (CWHL): 2017–2019

The Kunlun Red Star women's ice hockey team was established on 5 June 2017, in an effort to improve the China women's national ice hockey team in preparation for the 2022 Beijing Winter Olympics, in association the Kunlun Red Star men's team that had joined the Kontinental Hockey League the previous year. The team signed two players prior to the official announcement of the team in Finnish goaltender Noora Räty and American forward Kelli Stack. Red Star announced Digit Murphy, formerly of the Boston Blades as head coach. The team also signed Rob Morgan from Yale as associate head coach but soon after became the head coach of the second Chinese team, the Vanke Rays.

With their first round pick in the 2017 CWHL Draft, the Red Star selected Noora Räty. The club proceeded to select Alexandra Carpenter in the second round, while the third round saw the franchise select National Women's Hockey League (NWHL) All-Star Shiann Darkangelo.

On 21 October 2017, the Red Star competed in their first game, facing the Markham Thunder. Kelli Stack and Baiwei Yu both earned assists on the first goal in Kunlun Red Star history, scored by Zoe Hickel. During the regular season, teams that traveled to China played a three-game series against the Red Star in an effort to reduce travel costs.

By season's end, Noora Räty was the CWHL's regular season goaltending champion, leading the league in goals against average. In addition, she tied for the league in shutouts with goaltender Emerance Maschmeyer of Les Canadiennes, with six. Räty also won the CWHL Goaltender of the Year award, the first European-born goaltender to capture the honor, and Kelli Stack led the CWHL in scoring, the first American-born player to win the Angela James Bowl.

Räty was also the starting goaltender for the Red Star in the 2018 Clarkson Cup finals in Toronto. Facing the Markham Thunder, the final went into overtime, where Laura Stacey scored with 2:11 left in the 4-on-4 overtime as Markham prevailed by a 2–1 score for its first Clarkson Cup win. Räty recorded 37 saves in the game while Stack scored the only goal of the game for the Red Star. Head coach Digit Murphy left the team in May and Kunlun Red Star named Bob Deraney, formerly the head coach of the Providence Friars women's ice hockey team, as the new head coach on 12 June 2018.

Prior to the 2018–19 season, the CWHL shut down the other Chinese team, the Vanke Rays. On 3 August 2018, Kunlun Red Star changed its name to Shenzhen KRS Vanke Rays. 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. Kunlun Red Star brand was continued to be used by a separate hockey team for the Chinese national players as part of the national team's development in preparation for the 2022 Winter Olympics.

In February 2019, the KRS Vanke Rays announced coach Deraney had stepped down and Mike LaZazzera would take over the rest of the season. The team missed qualifying for the final playoff spot via tiebreaker with the Toronto Furies.

Following the season, the CWHL ceased operations citing the financial infeasibility of the league, but that the Chinese partnership had kept the league operating during the previous seasons.

Zhenskaya Hockey League (ZhHL): 2019–2023

On 25 July 2019, the team announced they were joining the Zhenskaya Hockey League (ZhHL) for the 2019–20 season. The team hired former North Dakota head coach Brian Idalski, the team's fourth head coach, while retaining veteran players Carpenter, Räty and Rachel Llanes. In their first season in the ZhHL, the Vanke Rays finished second overall in the regular-season table behind HC Agidel Ufa. In the playoff round, the Vanke Rays swept their playoff games against HC Tornado and Agidel to win the ZhHL Cup, becoming the first non-Russian team to win the ZhHL championship. In addition, Carpenter was named the league's scoring champion of 2020.

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. В.М. Боброва, romanized: Ledovyy Dvorets Sporta Im. V.m. Bobrova), which they shared with Kapitan Stupino of the Junior Hockey League (MHL).

They relocated to Mytishchi, another town in Moscow Oblast, for the 2021–22 and 2022–23 seasons. Their temporary home was Mytishchi Arena, which they shared with Kunlun Red Star of the Kontinental Hockey League (KHL).

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." 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. Ivo Mocek will be head coach for the 2023–24 season.