Link Prediction (LP) aims to predict missing triple information within a Knowledge Graph (KG). Existing LP methods have sought to improve the performance by integrating structural and textual information. However, for lexico-semantic KGs designed to document fine-grained sense distinctions, these types of information may not be sufficient to support effective LP. From a linguistic perspective, word senses within lexico-semantic relations usually show systematic differences in their sememic components. In light of this, we are motivated to enhance LP with sememe knowledge. We first construct a Sememe Prediction (SP) dataset, SememeDef, for learning such knowledge, and two Chinese datasets, HN7 and CWN5, for LP evaluation; Then, we propose a method, SememeLP, to leverage this knowledge for LP fully. It consistently and significantly improves the LP performance in both English and Chinese, achieving SOTA MRR of 75.1%, 80.5%, and 77.1% on WN18RR, HN7, and CWN5, respectively; Finally, an in-depth analysis is conducted, making clear how sememic components can benefit LP for lexico-semantic KGs, which provides promising progress for the completion of them.