Thursday night saw Sabalenka - who has dropped just one set all week - ease past third seed Coco Gauff 7-6(5), 6-2 on the hard courts of the Saudi capital.
The American led 4-2 in the opening set tiebreaker, but failed in the big moments. Unfortunately for the defending champion Gauff, the defeat results in her exit from the WTA season finale.
"I was already working for the second set, to be honest," said Sabalenka.
"Something clicked and I was able to break and that game gave me a lot of confidence that I still got it in this set."
Sabalenka now faces Anisimova on Friday night for a place in the final.
Earlier in the evening, American Pegula booked her place in the semifinals with a straight-set 6-2, 6-3 win over Jasmine Paolini. Pegula faces sixth seed Rybakina in her semifinal.