The 24-year-old Wie shot a bogey-free 4-under 68 on Saturday to match Thompson at 10-under 206 at Mission Hills in the first major championship of the year.
''I think Lexi is a really entertaining golfer,'' Wie said. ''I like to think I'm somewhat entertaining as well. So, I think the both of us paired together is great. I think it's great for the tour and it's going to be a lot of fun.''
The 19-year-old Thompson settled for a 69 after missing a 3-foot par putt on the par-5 18th. She also missed two short birdie putts on the front nine.
''Not the ending I wanted,'' Thompson said. ''I'm getting looks at birdies and just waiting for a few more to drop.''
Charley Hull, the Englishwoman who turned 18 last month, was two strokes back along with five-time major champion Se Ri Pak. Hull birdied the 18th for a 66, the best round of the day. Pak shot 71.
Both leaders said they were nervous.
''I probably won't sleep that well,'' Wie said. ''It's just the chance. You want something so badly. I dreamed about this all my life, so I'm just trying to not think about it so much. I'm just trying to think it's a normal Sunday. ... But I think that's a good thing. It's a sign that I'm really excited and I really want this.''
''I think if you're not nervous, you don't care,'' Thompson said. ''But it's a good nervous. This is what I've been waiting for and what I've worked my whole life for.''
Wie is making her 12th start in the tournament. She was ninth in 2003 at age 13, fourth the following year and tied for third at 16 in 2006. She also was sixth in 2011.
''I just go out there and I think I just really know what I need to do,'' Wie said. ''I think that came with experience of playing so many rounds in my life.''
Wie has two LPGA Tour victories, winning the 2009 Lorena Ochoa Invitational in Mexico and the 2010 Canadian Women's Open. She has been in the top 16 in all five of her starts this year, finishing a season-best fourth in Thailand.
Wie opened with a birdie for the second straight day, making a 20-footer from the front edge. She hit a 9-iron to 12 feet to set up a birdie on the par-4 sixth and knocked a wedge to 5 feet for another birdie on the par-5 ninth. She made a 3-footer for a birdie on the par-5 11th and parred the final seven holes. On 18, she left an 8-foot putt short.
''I'm really happy with my placement,'' Wie said.
Thompson, already a three-time LPGA winner, struggled with her putting after having a great day on the greens Friday in a bogey-free 64.
After two-putting for birdie on the par-5 second hole, she missed a 2 1/2-foot try on the par-4 fourth and a 4-footer on the par-4 seventh.
The long-hitter birdied Nos. 11 and 12, chipping to 1 1/2 feet on 11 and hitting a lob wedge to 4 feet on the par-4 12th. She made a 5-foot birdie putt on the par 4 15th to take the outright lead and parred the next two holes to run her bogey-free streak to 36 holes.
On 18, she drove close the face of a right-side bunker and blasted out, leaving her 145 yards on the water-guarded hole that she would normally reach in two. Her approach went long and right, and her 80-foot birdie putt broke about 15 feet right to left, setting up the short par miss that cost her the outright lead.
''I would say I had a few mis-reads,'' Thompson said.
Hull birdied six of the last holes. She played in the Solheim Cup last year and won her first pro title last month in Morocco.
''I hit it quite well,'' Hull said. ''My irons were pretty good and I hit some good drives. When I got myself in trouble, I was able to get out of it. I'm pretty happy.''
Hull turned 18 on March 20 and could become the youngest major champion in LPGA history. Morgan Pressel set the record at Mission Hills in 2007, winning at 18 years, 10 months, 9 days.
''It would be the best feeling ever,'' Hull said.
Pak birdied the par-4 16th after bogeying three of the first six holes on the back nine. The 36-year-old South Korean player won the last of her five major titles in 2006 and the last of her 25 LPGA victories in 2010.
''There's nothing to complain about it,'' Pak said. ''Of course, I mis-hit it there a little bit, but that will happen on this golf course.''