There does not appear to be any independent support for these claims.
A google search for "Wendi Deng Spy" brings up multiple results that directly quote the interview with Clive Palmer. There appear to be only two results on the first page that don't reference that interview: articles from Forbes and the Guardian. Both of these are in-depth analyses of the divorce proceedings, and neither repeats the allegation that Deng was a spy for the Chinese government. The Guardian article doesn't contain the word "spy" at all; the Forbes article says this:
A further cultural point is also relevant. It is considered fair game
in East Asia for people to pry into their spouses’ lives – and this
goes even in happy marriages. In extreme cases prying might involve
audio and even video recording. Of course, spying on one’s spouse is
not limited to East Asia but the difference is that in East Asia there
is no obloquy: basically Murdoch may have imagined the encounter was
being playing by Queensberry rules when in reality this is
Importantly, it does not say that Wendi Deng made audio or video recordings of Rupert Murdoch or of anyone else.
Tom Au in the comments under the question has mentioned a Vision Times article which appears at first glance to be an independent allegation of spying. But it isn't that at all. The only source it gives is a Chinese language article, which it claims has a "more reliable source" backing the spying allegations versus the official story that Murdoch filed for divorce because of a suspected affair. I put that article through Google Translate to see if it mentions who this "more reliable source" is - it's Clive Palmer:
September this year, the Australian mining large Henk Reeve Palmer
publicly alleged Murdoch's wife, Wendi Deng is a Chinese spy has
secretly monitor Murdoch Murdoch for many years this is the real
reason for her divorce must
A human translation provided by March Ho supports my inference that the name that Google translates as "Henk Reeve Palmer" is Clive:
In September this year, Australian mining magnate Clive Palmer openly alleged that Murdoch's wife Deng Wendi is a Chinese spy, and has been secretly spying on Murdoch for many years, and this was the true reason Murdoch insists on divorcing her.
Every instance of this allegation appears to trace back to Clive Palmer. Palmer has never presented any evidence, so there doesn't appear to be any reason to give the claim any credence.