In 1901, Choekyi Nyima was visited by the Mongolian Lama, Agvan Dorzhiev. Although he only stayed for two days at Tashilhunpo, Dorzhiev received some secret teachings from the Panchen Lama, as well as readings of the Prayer of Shambhala, written by Lobsang Palden Yeshe, the sixth (or third) Panchen Lama, concerning the Buddhist kingdom of Shambhala, which were of great importance to Dorzhiev's developing understanding of the Kalachakra ('Wheel of Time') tantric teachings. Choekyi Nyima also gave Dorzhiev gifts including some golden statues.
He fled to Inner Mongolia, China in 1924 after a dispute with the thirteenth Dalai Lama when he sensed that he might face threat after his own monastery’s monks were prohibited from holding any office in the Central Tibetan government and his officials were locked up in Lhasa. The Dalai Lama was attempting to collect revenue from the Panchen Lama's estate to cover a fourth of Tibet's military expenses, and to reduce the power of the Panchen Lama, who at the time enjoyed rule over an effectively autonomous region around Shigatse.
In China, the ninth Panchen Lama worked on plans to develop Tibet along modern lines.
The tombs of the fifth through the ninth Panchen Lamas were destroyed during the Cultural Revolution and have been rebuilt by the tenth Panchen Lama with a huge tomb at Tashilhunpo Monastery in Shigatse, known as the Tashi Langyar.