Cayeux scored birdie or better on seven holes, including an eagle at the relatively short par-5 fifth that moved him to 4 under through just five holes. He hit 15 of the 18 greens in regulation at Kungsangen Golf Club and one-putted eight times.
England's Barry Lane stands alone in second place at minus-7 after an opening-round 64. Aussie Mark Hensby and Robert Karlsson of Sweden stand one shot further back at 6-under-par 65, while 13 players are tied for fifth place at 5-under-par 66.
After making the turn at 5 under, Cayeux, who collected two of his three career Challenge Tour titles last year to earn his European Tour card, moved to minus-6 with a birdie at the par-4 11th.
Three consecutive pars followed that effort until the 27-year-old Zimbabwean collected birdies at Nos. 15 and 17 to get to 8 under.
The 45-year-old Lane, who is a veteran of more than 500 tournaments on the European Tour, started on the back-nine and made his turn at minus-3 after four birdies and a bogey at the par-3 16th.
The five-time tour winner then parred his first four holes on the front-nine before collecting four birdies on his final five holes to reach 7 under.
'It's good to play with the youngsters and show them how it's done sometimes,' said Lane.
Last year's champion, Luke Donald, is not on hand to defend his crown, but 2003 winner Adam Scott is tied with a group at 1-under-par 70. Jesper Parnevik, one of just two two-time winners at this event, is one stroke further back at even-par 71.