While Li Wei was born in Beijing he move to Shandong to begin his football career and would play for the Shandong Luneng under-19 youth team. With Shandong Luneng comfortably winning the 2006 Chinese Super League title the club's manager Ljubiša Tumbaković would allow Li Wei to graduate to the senior team on October 5, 2006 coming on as a substitute against Shanghai Shenhua in a 2-1 defeat. This was however his only appearance in the season and it was not until the 2007 league season that saw Li Wei establish himself as regular member of the Shandong team when he played in seventeen league games for them, which also included his first senior goal on May 9, 2007 in an AFC Champions League group game vs Adelaide United at Jinan. This was followed by his first league goal against Wuhan Guanggu on September 5, 2007 in a 2-0 win. The following season, however would see Li Wei struggle to remain as a first choice player and despite winning the 2008 Chinese Super League title with the club he was mainly used as a peripheral squad player within the team. He would continue to be used as a substitute until the introduction of Branko Ivanković as the club's new manager in the 2010 league season, able to play in numerous midfield positions saw Li Wei gain significantly more playing time under Ivanković's reign and aid Shandong to another league title.