Vesnina, who had beaten Williams in their only previous meeting at Wimbledon last year, won the first set and was up a break early in the second set before Williams fought back, taking the middle set in 63 minutes. But Vesnina regrouped to close the former World No.1 out in the third set, 62 57 62.
Williams wasn't the only crowd favorite to fall on Wednesday, with No.8 seed Marion Bartoli falling to Simona Halep (read more about that - and Bartoli's retirement announcement - here) and No.16 seed Maria Kirilenko falling to Mona Barthel (read more about that and Serena Williams' win here).
The rest of the seeds all survived, though a number of them were really made to work, most notably No.6 seed Sara Errani, who originally led 64 42 but ended up beating Polona Hercog in three sets, 64 57 64; No.7 seed Petra Kvitova, who scraped by Marina Erakovic, 64 67(7) 63; No.12 seed Roberta Vinci, who edged Andrea Petkovic, 64 67(3) 63; No.14 seed Jelena Jankovic, who rebounded from a 29-minute first set blowout to beat Ekaterina Makarova, 26 63 63; and finally No.5 seed Li Na, who came back from a slow start to make it past American wildcard Lauren Davis at night, 46 61 61.
"At the beginning of the match I was a little bit nervous, even though I've been on the tour for many years," Li said. "I'm happy I could come back and win tonight. Thanks to the fans for supporting me!"
Li is a very popular figure in Cincinnati, having conquered the Premier-level stop a year ago.
"I'm always excited to come back to the Western & Southern Open," she said in her on-court interview. "I always have good memories here and there's not much else to say, other than the fans are great."
Other favorites moving through in straight sets were No.4 seed Agnieszka Radwanska, who won 10 games in a row from 4-2 down in the first set to beat Varvara Lepchenko, 64 60; No.9 seed Angelique Kerber, who rallied from 5-3 down in the first set and beat Alisa Kleybanova in straights, 76(3) 62; No.10 seed Caroline Wozniacki, who was also down 4-2 in the first set but came back to beat Monica Niculescu, 64 63; and No.11 seed Samantha Stosur, who beat Jamie Hampton, 63 76(3).
In an all-unseeded match-up, Magdalena Rybarikova kept her sizzling summer going with a 36 75 75 win over Alizé Cornet, another player who is having a sizzling summer. The match was a rollercoaster, with Cornet originally leading 63 52, Rybarikova winning nine games in a row to snatch the second set and go up 4-0 in the third, and the whole thing ending after a whopping two hours and 46 minutes.