Serena Williams is excited to do something she hasn’t done in more than a month: play a tennis match. The 34-year-old Williams, ranked No. 1 in the world, will face friend and former No. 1 Caroline Wozniacki in an exhibition at Madison Square Garden in New York City on Tuesday evening.

It will be Williams’s first appearance on a tennis court since she lost the Australian Open final (she recently withdrew from two tournaments because of the flu). “This is a great opportunity for me to see how I’m feeling physically,” Williams...