Critics have burned Nike trainers and clothing in protest at the decision to use Kaepernick in the campaign, BBC Sport reported.
Kaepernick was the first NFL player to kneel during the national anthem to highlight racial injustice.
"Having a huge company back him could be a controversial reason for this company, but they're not afraid," said Williams, who is sponsored by Nike.
"I feel like that was a really powerful statement to a lot of other companies."
Williams, who has won 23 Grand Slam titles, was speaking after beating Karolina Pliskova to reach the US Open semifinals in New York.
She said of former San Francisco 49ers quarterback Kaepernick, "He's done a lot for the African-American community, and it's cost him a lot.
"It's sad. But he continues to do the best that he can to support."
After Nike unveiled the campaign, Williams tweeted that she was "especially proud to be a part of the Nike family".
Critics on Twitter used the hashtag #JustBurnIt – a play on Nike's slogan "Just Do It" – which trended alongside #BoycottNike.
In announcing the deal, Nike said Kaepernick, who has been out of a contract since March 2017, was "one of the most inspirational athletes of this generation".
The NFL said it "embraces the role and responsibility of everyone involved with this game to promote meaningful, positive change in our communities".
Kaepernick, who watched Williams' third round win over sister Venus at Flushing Meadows, sued the NFL in 2017 and accused owners of colluding to blackball him.