The Golden Winged Great Peng and Ming Heguang, along with others, were directly brought back from the Ancestral Dragon Hall by the Haotian Mirror.
After transforming the Zhaolin Realm into the Ancestor Dragon Scale and sealing the Supreme Heavenly Demon once again, the various Heaven's Chosen were taken away by the ancestors of their respective sects. Ming Heguang and others were just about to be taken back to the Bright Mirror Sect by the Haotian Mirror when they were approached by a person and a bird.
The first, naturally, was the Golden Winged Great Peng, transformed into a little girl with golden hair and blue eyes.
The second was Yu Feng.
The Golden Winged Great Peng's situation was simple. Being bent on following An Jing, she instinctively joined Ming Heguang's group, whose aura was most akin to An Jing's, and thus got inadvertently taken back to the North Mysterious Sacrifice Continent by the Haotian Mirror.
