Stenson shot a 5-under 67 in the first round of the Nedbank Challenge on Thursday to take the lead over 11 other high-profile international golfers.
The world's 12th-ranked player escaped without a bogey on Day 1, collecting two birdies on the front nine and three more on the back for a one-shot edge over defending champion Jim Furyk.
Stenson did it with his accuracy, hitting 12 fairways and 16 greens in regulation at the Gary Player Country Club Course. He ranked first in both categories.
'I have no complaints,' said Stenson, 'it was a flawless round, a happy day at the office even though it is a new course and new conditions for me.'
World No. 2 Furyk opened his title defense with a 4-under 68, spreading four birdies over a bogey-free round. Last year, he chipped-in for a birdie to win a four-way playoff.
With every major circuit but the European Tour now in its offseason, more than half of the world's top-20 players are in this field.
They are competing for a lucrative purse, including a first-place prize of $1.2 million.
Irishman Padraig Harrington and England's David Howell share third place at 3-under 69. South Africa's Retief Goosen, the 2004 champion, and Charl Schwartzel, the lowest-ranked player in the field, are one shot further back at 70.
Fellow South African Trevor Immelman is tied for seventh place with Spain's Jose Maria Olazabal at 1-under 71.
Another South African, Ernie Els, shares ninth place with two-time winner Sergio Garcia of Spain at even-par 72.
Els is a three-time champion and the tournament's all-time money leader, but after moving to 4 under through 14 holes, he made a bogey at the 15th, a double-bogey at the par-3 16th and a bogey at the 17th.
American Chris DiMarco is 11th after a 74, and 1996 champion Colin Montgomerie of Scotland is one shot further back at 75.