Darren Clarke, David Howell, Peter Lawrie and Jamie Donaldson finished one shot back at 5-under-par 67.
This event features a rotation of the Old Course at St. Andrews, Carnoustie and Kingsbarns with all players competing on each course over the first three days. After Saturday, the top 60 professionals and ties compete for the championship on the Old Course.
Hansen played the back nine of the Old Course first and tallied two birdies over his first two holes. Hansen then added back-to-back birdies from the 14th to move to 4 under par.
The Dane found trouble with a bogey at the first but Hansen managed to recover with a birdie at the third.
At the par-3 eighth, Hansen landed his tee shot within three feet of the cup for a birdie. He followed that up with a birdie at the par-4 ninth after his approach stopped six feet from the hole.
'I started really well and finished well,' said Hansen. 'I am very happy with my score. I think that's the first time I've broken par on the Old Course and that was nice. It's a learning process and maybe I am getting there at last.'
Yates also played the Old Course and had six birdies in a bogey-free round.
'I think I might have been slightly lucky with the wind when I started off,' said Yates. 'I think we had a little bit of an advantage there.'
Murphy took on Carnoustie with seven birdies and a bogey for his share of first.
'It is a fabulous golf course,' said Murphy. 'It is tricky and you could shoot anything out there if the wind got up.'
Clarke was also at Carnoustie on Thursday and collected three birdies and a bogey on the front nine to make the turn at minus-2.
The Ulsterman picked up a birdie at the par-5 12th and another at the par-5 14th before dropping his tee shot inside three feet at the par-3 16th.
Clarke ran home the short birdie putt to finish one shot off the lead.
'I was very pleased but we got very fortunate with the weather here, the wind didn't blow that hard for us early on and to get Carnoustie out of the way on the rota in very good conditions is a big boost,' said Clarke.
Simon Dyson and Maarten Lafeber had the best rounds at Kingsbarns with matching 68s. They were joined by Nick Price, Simon Dyson, Phillip Price, Costantino Rocca, Henrik Bjornstad and Michael Campbell in a tie for eighth.
Defending champion Padraig Harrington managed four birdies and four bogeys at Carnoustie to finish in a group at even-par 72 that featured Ernie Els and Vijay Singh.
'It was a good day for golf and I got off to a good start but it was not a great score at all,' said Harrington. 'Not on a golf course when it is like this. I am just not making it happen at the moment.'
Reigning PGA champion Shaun Micheel was one shot further back in a group at 1-over-par 73.
'There were a couple of pretty low scores out there but this being only my fourth round on a links style golf course, it was okay,' said Micheel.