Alastair Forsyth and Brad Kennedy also carded rounds of 2-under 70 in windy conditions on the PGA Centenary Course at The Gleneagles Hotel.
Ivo Giner, Iain Pyman and Gustavo Rojas are one stroke back at 1-under-par 71.
All three leaders began on the back nine. Warren got into red numbers with a birdie at the par-5 12th however he stumbled with a bogey at the par-3 14th.
Warren birdied No. 16 to head to the front at minus-1. He birdied the second to climb to minus-2. The Scotsman struggled to back-to-back bogeys from the fourth to drop back to even-par. He came back with birdies on his final two holes for a round of minus-2 70.
'It was my second professional event here last year and in that time I think my game has developed in every department,' said Warren. 'I think that showed today because all parts of my game were strong and they had to be, you can't afford any weaknesses in conditions like that.'
Forsyth bogeyed the par-3 10th to begin his round. He came back with birdies at 15 and 18 to make the turn at 1-under.
Around the turn, Forsyth birdied the second to get to 2-under. He bogeyed the fifth before a birdie at No. 8, his 17th, gave him a share of the lead.
'I'm delighted with that because I would have jumped at the chance of shooting that when I saw the weather this morning,' said Forsyth. 'I played great, made very few poor shots and drove the ball really well which was crucial because you don't want to go in the rough here.'
Kennedy got hot early on then cooled off. He birdied the 14th to get going and then birdied 17 and 18 to head to the front side at 3-under.
The Australian struggled through the front side. He parred his first two holes, before a bogey at the third. Kennedy later bogeyed the seventh to drop to minus-1 but he birdied the ninth to join the leaders at 2-under.
'It went great today, I'm really pleased at how I hit the ball today and my decision making was good at the right times,' said Kennedy, who celebrated his 29th birthday on Wednesday. 'It is not really what I am used to after playing in Australia and Japan for the last three years but I enjoyed it. It was a real test with the wind blowing like that.'
Defending champion Adam Scott, Colin Montgomerie, Rolf Muntz, Zane Scotland, Francois Delamontagne, Stephen Dodd, Gregory Havret and Soren Kjeldsen are tied for seventh place at even-par 72.