At the upcoming talks on Friday, the foreign ministers of China, Uzbekistan, Russia, Tajikistan, Kyrgyzstan and Kazakhstan will flesh out a plan to establish an anti-terrorism centre in Uzbekistan.
Li took a tour of the ancient city of Samarkand on Wednesday. The city was the centre of the short-lived Timurid empire in the late 14th and early 15th Centuries that helped reduce Mongol domination of the region.
The undefeated warrior-founder of the empire, Timur-i-Leng, was on his way to conquer China when he died.
But it is the more recent hostilities which have lingered between China and its ex-Soviet neighbours that the Shanghai grouping was created to help overcome. The group is working out the mechanisms needed for it to become a full-blown international body.
Beijing has shown increasing interest in security cooperation with its former communist neighbours particularly as it attempts to combat separatism close to its western border.
In recent years, China's western Sinkiang province has witnessed separatist unrest among sections of its majority ethnic Uighur population, who are largely Muslims.
On Thursday, Li holds talks with Uzbek President Islam Karimov.
Karimov, although a participant in the Shanghai grouping, has had somewhat cooler relations with Moscow since he allied himself firmly with Central Asia's other key player, the United States.