Xiao Zhi started his football career with second-tier football club Nanjing Yoyo,[1] where he would establish himself as a regular within the team before he was sold to his local football club Henan Jianye for 1.3 million Yuan.[2] With his new club he would play within the top tier and make his debut for them on March 11, 2007, when he made his first league appearance against Beijing Guoan in a 0–0 draw.[3] Due to his versatility to play as a winger or striker he would find significant playing time and score his first goal against Changchun Yatai on November 4, 2007, in a 3–2 victory.[4] By the end of season he would make 23 league appearances and though these often came as a substitute he would still play a large part in Henan's establishment in the Chinese Super League.
On January 27, 2016, Xiao transferred to fellow Chinese Super League side Guangzhou R&F.[5] He would make his debut in a league game against Hebei China Fortune F.C. on March 4, 2016, in a 2–1 defeat.[6] In his first campaign he played 25 times in the league that season, scoring six goals. Xiao signed a contract extension with R&F on January 25, 2017.[7]
On July 17, 2020, Xiao joined Tianjin TEDA.[8] He would make his debut in a league game against Shanghai SIPG F.C. on July 27, 2020, in a game that ended in a 3–1 defeat.[9]
On October 20, 2024, Xiao decided to retire from professional football after the last China League Two home game against Shaanxi Union[10]