Annika Sorenstam, who had her string of consecutive victories on the LPGA Tour snapped last week at the Michelob Ultra Open at Kingsmill, joined Karrie Webb and Giulia Sergas at 5-under-par 67.
Davies, who won this event in 1995, hit a sand-wedge to 8 feet for a birdie at the par-4 10th, her first. Davies found trouble with a bogey at the par-4 12th, but answered with back-to-back birdies starting at the par-5 13th.
The 41-year-old struggled to a bogey at the 15th, but hit her tee shot to 12 feet for a birdie at the par-3 16th. Davies then two-putted for a birdie at the par-5 18th to go out in 33.
Davies added a birdie at the par-5 second and picked up another birdie at the par-4 seventh. Davies made it two in a row after her tee shot to the par-3 eighth stopped within 6 feet of the hole.
'It's a course I like and it's a tournament that I would never miss,' said Davies. 'It's one of my favorite tournaments of the year.'
Sorenstam also played the back nine first and ran off three consecutive birdies starting at the par-4 12th. Sorenstam hit a 7-iron into a bunker at the par-5 18th, but hit a wedge out to 8 feet and converted the birdie putt to make the turn at 4 under.
The Swede cooled down on the front side and managed a lone birdie at the par-5 second.
'I feel very happy about the first round,' said Sorenstam, who won this event in a playoff in 2001. 'It's nice to make some putts again.'
Webb picked up three straight birdies from the second, but found trouble with a bogey at the fifth. She responded with a birdie at the eighth and tallied another at the par-4 10th after her approach landed 15 feet from the cup.
The Australian bogeyed the 11th, but countered with a birdie at the 14th. Webb then birdied the closing hole for her piece of second.
'It's just a matter of putting three or four good rounds together all in one week,' said Webb, who is seeking her first victory of the season. 'I've got to be patient and not try too hard to make it happen.'
Sergas had a birdie and a bogey over her first nine holes but the Italian caught fire on the inward half. She picked up a birdie at the 10th and birdied three in a row starting at the 12th.
Sergas hit a 5-iron to 6 feet for a birdie at the par-3 16th to join Sorenstam and Webb one shot back.
Cristie Kerr, who won last week at Kingsmill, was joined by Heather Bowie, Denise Killeen, Suzanne Strudwick, Lorie Kane, Lorena Ochoa, Nicole Jeray, A.J. Eathorne and defending champion Jenny Rosales at 4-under-par 68.