BEIJING—China's highest court spared a 30-year-old millionaire once labeled one of China's richest women from the death penalty, in a case that drew attention to the country's underground lending market and elicited an outpouring of online protests as well as sympathetic comments from Premier Wen Jiabao.

Wu Ying—who turned a single nail salon into a regional conglomerate—was sentenced to death in 2009 after being convicted of swindling 11 investors out of 380 million yuan ($60.3 million).

But...