Sheehan birdied Nos. 7 and 8 at the par-71 Phoenix Country Club and added two more birdies on the back nine to take a one-stroke lead over a group of seven golfers, including American Brandt Snedeker and Japans Toru Suzuki.
South Africas Ernie Els shot a 72 to finish in a tie for 34th place. Defending champion Ian Poulter of Britain shot a 73.
The $2.1 million event is one of the richer tournaments on the Japanese mens tour. Recent winners include Tiger Woods (2004, 2005) and Padraig Harrington (2006).