Try this. You can use absolute positioning. Set relative position for StyledLi and absolute position for :after in StyledLink.
Second variant, use pseudo element for StyledLi and hover for StyledLi.
You can see two examples below.
const Container = styled.div``;
const List = styled.ul``;
const StyledLi = styled.li`
  position: relative;
`;
const StyledLink = styled.a`
  text-decoration: none;
  margin-right: 20px;
  font-size: 20px;
  color: grey;
  transition: 0.2s;
  :after {
    content: "";
    position: absolute;
    bottom: 0;
    left: 0;
    display: block;
    width: 0%;
    height: 2px;
    background-color: blue;
  }
  :hover {
    color: blue;
  }
  :hover:after {
    width: 90%;
  }
`;
const App = () => (
  <Container>
    <List>
      <StyledLi>
        <StyledLink>List Item</StyledLink>
      </StyledLi>
      <StyledLi>
        <StyledLink>List Item</StyledLink>
      </StyledLi>
      <StyledLi>
        <StyledLink>List Item</StyledLink>
      </StyledLi>
    </List>
  </Container>
);
Second variant
const Container = styled.div``;
const List = styled.ul``;
const StyledLi = styled.li`
  color: grey;
  :after {
    content: "";
    bottom: 0;
    left: 0;
    display: block;
    width: 0%;
    height: 2px;
    background-color: blue;
  }
  :hover:after {
    width: 90%;
  }
  :hover {
    color: blue;
  }
`;
const StyledLink = styled.a`
  text-decoration: none;
  margin-right: 20px;
  font-size: 20px;
  transition: 0.2s;
  color: inherit;
`;
const App = () => (
  <Container>
    <List>
      <StyledLi>
        <StyledLink>List Item</StyledLink>
      </StyledLi>
      <StyledLi>
        <StyledLink>List Item</StyledLink>
      </StyledLi>
      <StyledLi>
        <StyledLink>List Item</StyledLink>
      </StyledLi>
    </List>
  </Container>
);