Lee sank seven birdies to finish on seven-under-par, a shot ahead of American Sarah Schmelzel and Chinese surprise packages Liu Ruixin and Miranda Wang as the tournament on the southern Hainan island made its return for the first time since 2018.
World number five Lee, who won this event in 2016, is playing only her second event of the season after competing at last week's HSBC World Championship in Singapore, where she finished in a share of 29th place.
The two-time major winner made some alterations to her game during the off-season and has also changed her club manufacturer.
"Everything has been a little bit of a process getting used to it, but I think it's going to take me a couple events just to knock the rust off and break those clubs in," Lee said.
Schmelzel is in good touch, having finished in a share of eighth place in Singapore.
"I'm starting to roll it better," said the world number 95. "Just a lot of work on that this off-season, so it's nice to see putts finally roll in right now."
Wang, who plays on China's domestic tour, credited her short game for her six-under total on just her third appearance at an LPGA event.
"I think my putting was really working well today. I was getting the speed right and that was really helpful," said the world number 380.
Liu is ranked 293 in the world and said she was surprised at shooting 66 after having hardly picked up a club this year.
"To be honest with you, I haven't touched a club in three months because I'm treating my allergies, so no expectations to start the round," admitted Liu.
"I was so worried about my putting before the round. Actually the ball just kept rolling in, so I'm pretty happy with the result."
Tied for fourth on five-under-par 67 were Americans Lucy Li and Caroline Inglis, and South Korea's Choi Hye-Jin.
A shot further back in a three-way tie for sixth place was former world number one Lydia Ko.
The Korean-born New Zealander already has one LPGA win under her belt this year, at the opening event in Florida in January.
World number one Lilia Vu, who pulled out of her final round in Singapore after feeling unwell, struggled again with four birdies and four bogeys in a level par 72 and lies in a share of 43rd place.
Only the top 65 and ties will make the cut after Friday's second round and advance to the weekend in the $2.2 million (£1.73 million) event, where the winner will pocket $330,000 (£258,800).
