The Zimbabwean and local favorite signed for a 5-under-par 67 and a one-stroke lead that was settled shortly after a 30-minute lightning delay and amidst a thundershower.
Cayeux stood in the rough left of the par-5 18th fairway and in a seven-way tie for the lead at 4-under-par when the siren sounded for the suspension of the round.
When play resumed, Cayeux pitched his second just short of the green, chipped up to 10 feet and holed the putt for the outright lead.
'Now the pressure's really going to be on me to win,' said Cayeux, who in the absence of Mark McNulty, Nick Price and Tony Johnstone has been targeted by the locals as the man to continue the Zimbabwean dominance of this event.
'It's nice to be in the lead. But I'm just going to go home and try and forget about it. I'll play computer games or something,' he said.
But Cayeux will struggle to keep his mind clear of a bunched up leaderboard behind him.
Only one stroke back lies the experience of European Tour campaigners Jean Hugo, Darren Fichardt and Nic Henning, as well as Sammy Daniels, Dean Lambert and another local in Shane Pringle.
Fichardt was headed for a share of the lead at 4-under par before the delay. But he returned to miss his eight-foot birdie putt at the last.
Ian Hutchings, Steve van Vuuren and Sean Pappas are also well-placed in a group of seven professionals on 69.
But Cayeux's composure is his greatest asset, a quality which was no better illustrated than at the par-5 11th on Thursday.
Standing over a drive that finished under the trees left of the fairway, Cayeux pulled off a brilliant recovery when he threaded his second through the smallest gap and to about 30 feet from the hole, where he two-putted for birdie. Cayeux's round of seven birdies and two drops also featured two 40-foot putts for par.
Hugo represents one of the greatest threats to Cayeux's hopes of keeping the trophy north of the Limpopo River. The Capetonian has just returned from a successful year on the European Tour and is hunting his second Zimbabwe Open title in three years this week.
'It was a tough day out there, but at least this is four strokes better than my first round when I won here in 1999,' said Hugo, who also finished second in this event last year.
Hugo's biggest downfall was his inability to adjust to the milder conditions on the Sunshine Tour following a tough year in Europe.
'I'm struggling a bit with my middle irons. I'm just not used to the difference in altitude and weather yet. You come from the European Tour where the weather is terrible to here where it's great, and it's tough to convince yourself that where you're used to hitting a 6-iron you can now hit a 9-iron,' he said.
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