Wall shot a 9-under-par 63 Thursday to take the outright lead of the event by three shots.
Not far behind him, however, is an impressive array of Europes best.
Four players sit at 6-under, including Colin Montgomerie and Darren Clarke, while seven others are at 5-under following opening rounds of 67, including two-time defending champion Lee Westwood and European Ryder Cup captain Sam Torrance.
All in all, though, the story Thursday belonged to Wall.
Following a flawless opening nine holes which saw the 26-year-old from London pick up four unanswered birdies, Wall continued the trend into his final nine of the day (the front nine), offsetting a bogey at No. 5 with six more red numbers, including three in a row at the seventh through the ninth.
Click Here for Anthony Wall's scorecard
Prior to this week, Walls lowest round on the circuit came via a pair of 65s in 1999.
His best finish, however, came just last season, when Wall took the Alfred Dunhill Championship in much the same fashion with which he closed Thursday, birdieing the final three holes of the tournament.
Nevertheless, he will have to hold off some formidable company as the weekend approaches.
At No. 8 on the Ryder Cup points list, Montgomerie has everything to gain this week, as the 38-year-old Scot is trying to put a lock on his appearance in this years Cup.
While his opening round of 66 has given him reason to be happy, it was looking for a time that he may shoot a rather poor score for the day.
After three holes, I was 2-over-par and it was not looking good, claimed Monty, who bogied two of his first three holes of the day, but then went 7-under over his next seven holes, but walking to the 13th tee (his fourth of the day), I just said, Its a good tournament to win from here.
The conditions are very good for low scoring and its nice to have my name on the leaderboard, he said.
Likewise, Westwood must be feeling more of a happy man following his opening round of 67, as the score marked just his tenth round under 70 for the season.
Following a year which saw him take not just this event, but four others in total, the big Englishman has only recorded two top-10 finishes this year.
Click Here for full-field scores from the Volvo Scandinavian Masters