Fergus and Simpson both completed their rounds without a bogey, while McKnight and McNulty dropped one shot apiece on the Robert Trent Jones Golf Trail at Ross Bridge.
All-time Champions Tour victory leader Hale Irwin leads a group of three players tied for fifth place at 4-under-par 68. That group includes former major league pitcher Rick Rhoden and Wayne Levi.
Dick Mast briefly moved ahead of the co-leaders after a birdie at the 16th, but he finished bogey-double bogey to end in a tie for ninth place at 3-under-par 69 with Des Smyth and Bobby Wadkins.
McKnight was the first co-leader to finish his round. He collected three birdies on the front and back nine, including one at the par-5 seventh on a 15-foot putt.
But an errant shot at the par-4 17th -- he hit a hybrid club into the water -- dropped McKnight to 5 under.
'I played well today except for number 17,' said McKnight, who holds at least a share of the 18-hole lead for the first time on the Champions Tour. 'The wind picked up and I hit a hybrid into the water. I was happy to get out of there with a bogey.'
Fergus collected three birdies on the front nine and two on the back, gaining a share of the first round lead for only the second time on the Champions Tour. His birdie at the par-4 third came on a 20-foot putt.
'Five birdies and no bogeys -- I've got to be happy,' said Fergus, who previously led after the first round at the 2005 Turtle Bay Championship.
Like McKnight, McNulty carded three birdies on both the front and back nine. His bogey came at the par-3 11th, where he missed a 4-foot putt for par.
'Other than that,' McNulty said, 'I had a nice day.'
Simpson is in a familiar position, having led after the first round of the Puerto Vallarta Blue Agave Classic last month.
He collected his five birdies during an eight-hole stretch from the sixth to the 13th. During his that spurt, Simpson made putts of 20 feet at the par-3 sixth and 15 feet at the par-4 10th, where he recovered from an errant tee shot.
Simpson then made two good pars at 17 and 18, recovering from a bunker at the last with a sand save and a 12-foot putt.
'Good finish with a good save at 18,' said Simpson. 'Holes 17 and 18 were really tough today, especially with the wind.'
Loren Roberts, already a three-time winner this season, leads a group of eight players tied for 12th place at 2 under. Fifteen players, including defending champion D.A. Weibring, are knotted one stroke further back in 20th place.