Annika Sorenstam, a two-time winner of this event, opened with a 6-under-par 66. She is joined there by Lynnette Brooky and Marta Prieto. Stephanie Arricau is one stroke behind that trio at minus-5.
Davies, the winner here in 1995 and 1996, opened with three straight pars. The Englishwoman quickly moved into red figures with back-to-back birdies from the fourth at Evian Masters Golf Club.
The 40-year-old parred her next three holes, before carding an eagle at the par-5 ninth to get to minus-4. Around the turn, Davies picked up her third birdie at the 10th.
Davies moved to 6 under with a birdie at the par-4 13th. However, the two-time McDonald's LPGA champion stumbled to a bogey at the 14th.
Davies quickly bounced back as she converted a birdie at the par-5 15th. She came right back with a birdie on 16 to get to minus-7. Davies closed with a birdie at the last to tie the course record of 64, which she also shot here in 2001.
'I've been driving the ball magnificently all year really,' Davies said. 'But I really couldn't get anything going with the putter. I played very solid with only one bogey all day and that was my only bad putt all day. If I keep playing like that, I'll have my chance come Sunday.'
Davies, who worked for the BBC at the British Open last week as an on-course reporter, learned a few things while working.
'I couldn't really practice much last week at The Open, but I learned a lot from watching the men and how they swing it easy and hit it so far and that was the order of the day today,' said Davies.
Sorenstam, who finished 17th here last year, climbed the leaderboard slowly. She dropped in her first birdie at the second, and came back to birdie the fifth. The Swede then birdied the seventh and ninth to get to minus-4.
On the back nine, Sorenstam tripped to a bogey at the 10th. She converted consecutive birdies from the 13th to get to 5 under. The top player in the women's game capped her round with a birdie at the par-5 closing hole to move into a tie for second place.
'I'm very happy with the way I played today, it was very solid,' said Sorenstam. 'That is a good start wherever you go and today I was patient all day and took advantage of the par fives.'
Brooky wrapped birdies at the third and fifth around a bogey at the fourth. A birdie on No. 8 moved Brooky to 2 under. She moved to 3 under with a birdie at the 13th. She closed her round with three straight birdies to join Sorenstam and Prieto in second place.
Prieto stumbled out of the gate with bogey at the first, but she came right back to birdie the second. After four consecutive pars, the former British Amateur champion birdied the par-5 seventh.
Around the turn, Prieto dropped in consecutive birdies from the 10th. She birdied the 13th to get to minus-4. The Spaniard drained birdies at the 16th and 17th to share second place.
Lorena Ochoa, who tied for third place here last year, shares sixth place at 4-under-par 68 with Wendy Doolan, Kelly Robbins and Karen Stupples.
Patricia Meunier-Lebouc, who hails from Dijon, France, paces a group at minus-3. She is joined there by Asa Gottmo, Soo-Yun Kang, Carin Koch and Becky Morgan.
Juli Inkster, the defending champion, is joined at 2-under-par 70 by 2001 champion, Rachel Teske and eight others. Fourteen-year-old Michelle Wie, making her debut at this event, is one stroke further back at minus-1. Among other players also at minus-1 are 18-year-old Aree Song and U.S. Women's Open champion Meg Mallon.