Price had five birdies, two eagles and two bogeys at the par-72 Raven Golf Club. The other three co-leaders played the par-71 Georgian Bay Club.
Their scores were one shot better than Rich Barcelo, Trevor Dodds, Dave Schultz, Randy Leen and Scott Piercy, who all posted 66s on Thursday.
It's the first year for the new Nationwide Tour event hosted by the hockey Hall of Famer known as The Great One during his playing days, and scores were good.
Ninety-six players broke par on the two courses, and 118 out of the 159 who posted numbers were at even-par or better.
Raven Golf Club played as the easier of the two courses, with the average score coming in more than 1.5 shots under par.
That's where Price made his run on Thursday. It included a chip-in eagle at the 16th hole and a pair of holed 30-foot putts, one for eagle and another for birdie.
'That is how you turn a 68 into a 65,' said Price, who also hit 13 fairways in the round.
Price won the Livermore Valley Wine Championship in April and has moved into the 11th spot on the money list. His 65 on Thursday was a season-best -- but it didn't come as a surprise to Price.
'I feel like I've played well in every tournament,' he said.
Gretzky didn't just focus on his hosting duties Thursday. He teamed with David Hearn to shoot a 7-under 65. Other athletes who played included fellow hockey great Brett Hull, former NBA star Charles Barkley and NFL great John Elway.
The round was delayed 68 minutes in the afternoon because of passing thunderstorms.