Bryan Saltus is one shot behind at 7-under-par while Rodney Butcher is two back at minus-six.
McKenzie used a hot putter to gain his share of the lead. He one-putted six greens on the front side en route to a 5-under 31.
'Putting is what this game is all about, and I was able to make a lot today,' said McKenzie, who played on the Buy.Com Tour last season. 'But the way things have gone this season, it is going to take 20-under to win. I'm still going to have to shoot 12-under over the next three days, or today isn't going to matter.'
Del Olmo gained entrance into the tournament through a sponsor's exemption and he took full advantage on his native soil. He hit 17 of 18 greens in regulation on Thursday
'This course is treating me very well,' said del Olmo, a member of the Asian Tour. 'I am hitting the ball strong and straight. I feel very good right now.'
David Deanda and Cesar Perez share fifth place at 5-under-par, followed by Brett Boner, Jeff Burns, Kyle Kovacs, Eddie Maunder, Rob McMillan, Wilfredo Morales, Mayson Petty and Juan Salazar, who are tied for seventh at minus-four.