Cayeux finished with three successive birdies to card a 7-under-par 65 and head the field by one shot from new U.S. Tour card holder Brenden Pappas, Wallie Coetsee, Henk Alberts, Omar Sandys and American Rick Hartmann Jr.
Headline attractions Ernie Els and Rory Sabbatini, who are paired together for the first two days, and U.S. Open champion Retief Goosen had to settle for less-than-spectacular scoring in close to perfect conditions.
Els finished with a 70 after reaching the turn at 3-under. Sabbatini needed birdies at both the par-5s coming home to post a 1-over-par 73, and Goosen fired a 69 with a birdie at the final hole.
Although the purse at the Players' Championship is one of the most lucrative on the Sunshine Tour, Cayeux said he felt under far less pressure to perform than during his abortive attempt to win the Zimbabwe Open on his home course in Harare ten days ago.
'There was a lot of pressure in Zimbabwe, but here it's like there's nothing actually happening,' Cayeux said after completing his round. 'The atmosphere is nice, but it's different to Zimbabwe. At home I had all the members saying 'You're going to win this week,' but there's none of that here.
'I was pretty relaxed out there. My swing is feeling good and after the way things went in Zim, I said to myself 'Hey, just be patient and your time will come.' Let's see if we can do it this week.'
Alberts' 67 represented something of a miraculous turnaround after the player was involved in a serious car crash on Wednesday. Alberts went to the hospital after the incident, and was still nursing a sore neck when he arrived for his early tee-off time.
'It was a hard day yesterday and my neck's still a bit, stiff but it helped me keep my head down out there!' Alberts laughed. 'You could say it was a case of 'beware the wounded golfer.' But the necks not too bad really.
'I think the whole thing might have motivated me a bit. It definitely did more positive things than negative things.'
Els, meanwhile, was clearly far from satisfied with his round, complaining afterwards that the putts just would not drop in the later stages.
'It was a pretty mediocre round,' he said. 'I played good the front nine and then the back nine the putts just wouldn't go in. It's just one of those things. It's a calm day - good for scoring - but it just didn't work out for me.'
Els also admitted that the play-off defeat to Sergio Garcia at the Nedbank Golf Challenge Sunday had also taken its toll.
'It's hard to put those things behind you just like that, but I think I coped OK today. I tried to get focused and really zoned in for the tournament, but a 70 is still under par and there's a long way to go.'
Defending champion Trevor Immelman appeared to be mounting a strong defense of his title, reaching 6-under before carding a six at the par-4 6th ' his 15th ' and following that with a bogey six at the easy 7th to sign for a 69.
I was playing beautifully out there, which was great because I havent been at my best this year, Immelman said. I dont know what happened at the end, but I think my evil little brother came out somewhere.
Nico van Rensburg and Englishman Danny Poulter both came up with a hole-in-one on day 1. Van Rensburg aced the 8th hole with a perfect 6-iron in a round of 70 while Poulter holed his tee shot at the tough 13th on the way to a 69.
Full Field Scores from the Vodacom Players Championship