The prediction of lexical complexity in context is assuming an increasing relevance in Natural Language Processing research, since identifying complex words is often the first step of text simplification pipelines. To the best of our knowledge, though, datasets annotated with complex words are available only for English and for a limited number of Western languages.In our paper, we introduce CompLex-ZH, a dataset including words annotated with complexity scores in sentential contexts for Chinese. Our data include sentences in Mandarin and Cantonese, which were selected from a variety of sources and textual genres. We provide a first evaluation with baselines combining hand-crafted and language models-based features.