Halep, last year's finalist in Singapore, raced to a 6-0 1-0 lead before Pennetta won a game.
“I feel that I can play my best tennis here,” Halep said. “I can say that I didn't play my best today, but I played good tennis. I played solid. I was dominating the match.”
The Romanian saved both break points she faced in the second set and broke Pennetta's serve four times.
Pennetta, who only qualified for the WTA Finals last week, had beaten Halep the last time they played in the U.S. Open semifinals.
“I didn't play the right game against her at the U.S. Open,” Halep said. “Here I was well-prepared and I knew how to play against her.”
On Sunday, Pennetta was a step slower and Halep was on form from the minute she walked on court.
“She play I think really consistent,” said Pennetta, making her WTA Finals debut. “She was playing really well today. Maybe I had not too much energy. I didn't push a lot like I always do.”
Pennetta only found out last week that she qualified for her first singles appearance at the WTA Finals. She played two tournaments after the U.S. Open — Beijing and Moscow — in her quest to make it to Singapore.
“The road to Singapore was pretty hard in the last month, but I'm really enjoying ... this event,” Pennetta said. “I would love to play a little bit better, but I still have my chance.”
Maria Sharapova and Agnieszka Radwanska play their opening round-robin match later Sunday.