Emanuele Canonica, playing in one of Thursday's final groups, carded a 5-under-par 66 and is alone in fourth place at Loch Lomond Golf Club.
Two of the top-4 players in the world are in the field this week as they get ready for next week's British Open at Royal Troon.
Ernie Els, the defending champion of the Scottish Open, shot a first-round, 1-under 70 and is part of a logjam in 37th. Reigning Masters winner Phil Mickelson, who also finished second at the U.S. Open, posted a 1-over 72 and is tied for 76th.
Ben Curtis, who is preparing for his first title defense next week, fashioned a round of 2-over-par 73 and shares 99th place, eighth strokes behind the leaders.
Romero, who won this title in 2002, birdied the second hole, but dropped a shot at No. 4 when he three-putted. The Argentine ran off three consecutive birdies from the sixth to make the turn at 3-under 33.
He tallied back-to-back birdies from the 13th, but missed the green with his tee ball at No. 17. Romero got up-and-down for par, then birdied 18 to join Price and Lara in first.
Romero turns 50 in eight days and all questions surround the Champions Tour.
'People ask me when I am going to the Seniors Tour, but I say I don't want to go to the Seniors Tour full time just yet,' said Romero, who will make his debut on the elder circuit in two weeks at the Senior British Open. 'My game is for the regular tour and I would like to stay here as long as I can.'
Price began on the back nine at Loch Lomond and made little noise with a pair of birdies. He recorded another birdie at the par-5 third, then racked up three birdies in a row from six to grab his piece of first.
Price, who shocked the world with a 3-and-2 drubbing of Mickelson in the 2002 Ryder Cup, tied for second last year behind Els. After years of poor play at Loch Lomond, Price makes a staple of his schedule.
'The first few times I came I missed the cut and threatened never to come again,' admitted Price. 'I didn't play any good and I thought it was perhaps a bit long for me. But my game is improving and I am now at the stage where I should be able to play on any golf course.'
Unlike his fellow co-leader, Lara made his run to the top of the leaderboard with solid back-nine play. He made only two birdies on the front side, but collected four birdies in his first five holes on the second nine to post the first 65 in the clubhouse.
Lara was playing poorly heading into last week's European Open, missing five cuts in a row. Lara teed it up in the final group on Sunday with eventual champion Retief Goosen and tied for fifth place.
'It was the first time that I had played with Retief and it was good to play with him in one of the biggest tournaments on the European Tour,' said Lara, who can still earn a spot in the field next week at Troon. 'I learned a few things from him about how to play in difficult conditions that will hopefully help make a difference to me in the future.'
Tom Lehman, the 1997 champion here and 1995 claret jug winner, shot a 4-under-par 67 on Thursday and is tied for fifth place with Christian Cevaer, Kenneth Ferrie, Marcus Fraser, Philip Golding, Peter Hedblom, Ian Poulter and Mark Roe.