Recent signing Jay Rodriguez opened the scoring for West Brom with a thunderous long-range strike early in the game. Riyad Mahrez replied for the former Premier League champions with an excellent goal of his own.
Marc Albrighton netted the winning penalty after 90 minutes to send his side through to the final on Saturday.
Leicester manager Craig Shakespeare gave starts to new signing Harry Maguire following his transfer from Hull City earlier in the window. Youth prospect Callum Elder also lined-up in the defence. Former Manchester United trainee Tom Lawrence started the game following a hugely successful loan spell last season at Ipswich Town.
Riyad Mahrez was also given a starting berth in the game despite wanting to leave the club. Record signing Islam Slimani lead the line alongside Japanese international Shinji Okazaki.
Following his return from injury, Matty James captained the side in Hong Kong.
Tony Pulis meanwhile selected a strong side for the game with the likes of Jake Livermore, Salomon Rondon and Matt Phillips all starting. New signings Jay Rodriguez and Ahmed Hegazi were given their West Bromwich Albion debuts.
A Baggies blast
The first chance of the game indeed fell to former Southampton man Rodriguez with a deft flick in front of goal following a Phillips cross.
It didn't take long though for the Englishman to really have an impact. Picking up the ball 25 yards from goal, he slammed a powerful shot into the top corner to open the scoring.
Riyad Mahrez replied with his own excellent strike mid-way through the first half. Bearing down on the West Brom defence, the Algerian struck a low shot which nestled into the bottom corner.
The winger then nearly earned an excellent assist with a pass to Islam Slimani. The former Sporting striker was unfortunately let down by his first touch as the ball bobbled out of play only a few yards from goal.
As was expected in the second half, both sides made plenty of changes as part of their preparations for the 2017/18 season. The Foxes introduced the likes of Jamie Vardy, Wes Morgan and new signing Vincente Iborra.
Elsewhere, Nacer Chadli, James McClean, amongst others all took to the field for the Baggies in an effort to regain the lead.
Jamie Vardy though nearly had the chance to find the net after he found space on the right side of the penalty area from a Danny Drinkwater free kick. Pressure from Jonny Evans put the English forward off and his shot flashed wide of Ben Foster's goal.
Going into the final minutes of the game, West Brom's fitness seemed to be earning the advantage, being further into their pre-season preparations. The Baggies dominated the ball for the majority of the second half.
Although, the game looked to be heading to a penalty shoot-out to determine which team was to play in the final on Saturday.
Indeed, neither side managed to edge ahead in Hong Kong so the game was determined by the lottery of penalties. A new format was also trialled, with the penalties taken in an ABBA order.
The Baggies won the toss and decided to go first with Nacer Chadli successfully finding the net. Leo Ulloa followed up with a confident penalty of his own. Jamie Vardy was next to step up and struck low to put the Foxes' 2-1 up.
Two consecutive West Brom penalties were then taken in the new format and both Hal Robson-Kanu and Jonny Evans scored. Christian Fuchs and Danny Drinkwater then scored their penalties, albeit the latter's just about squirmed under the keeper's body.
James McClean and Craig Dawson hit powerful shots into the net with Vincente Iborra and Andy King replying with successful spot-kicks to take the shoot-out to sudden death.
Baggies youngsters Jonathan Leko and Sam Field then stepped forward but the latter saw his kick saved by Ben Hamer. Marc Albrighton tucked home the decisive penalty to win the game for the Foxes.
The East Midlanders now go into the final where they will play Liverpool.