Li, a multiple winner on the European Tour, had just one blemish, a bogey five at the 10th hole.
"I played really solid and left myself a lot of birdie chances," said Li, who once rose as high as world number 32, in 2018.
He has struggled since last winning at the BMW International in 2022 and admitted that the round had hugely exceeded his expectations.
"Not even close. I just tried to play steady so I'm really happy to have this score today," Li said.
One back on six-under par are LIV Golf League pair Pat Perez and Mito Pereira, plus Japan's Yuta Sugiura, after they all shot 64 at the Macau Golf and Country Club's par-70 layout.
"It was nice, I hit it really good," said Perez after rolling in seven birdies against just one dropped shot, on the par-four eighth.
"Wind was blowing and there were some tight tee shots out there. I screwed up one hole, but other than that I played great," added the 48-year-old.
Pereira is playing his fourth week in a row, with two Asian Tour events on either side of LIV commitments, as the Chilean chases ranking points to secure one of his country's two spots in the Paris Olympics.
"To be honest, I'm really tired and ready to go home," said the 28-year-old Pereira, who currently sits 41st on the Olympic Golf Rankings with the top 60 qualifying for Paris.
"This is the last push this week and I'm trying to really give my best."
Saudi-bankrolled LIV Golf has invested $300 million (£234m) in the Asian Tour - which unlike LIV receives world-ranking points - leading to the creation of the International Series of 10 enhanced prize money events.
The series is making its debut in the southern Chinese resort city an hour's ferry ride from Hong Kong that boasts a glitzy strip modelled on Las Vegas, complete with luxury hotels and casinos.
Australia's Scott Hend was one of 11 players lying two behind Li after a five-under 65.
Hend, the Macau Open champion on the same course in 2013 and 2015, enjoyed one of the shots of the day to set up an eagle two on the 15th.
The 50-year-old smacked his drive over water almost stone dead on the 340-yard par four and rolled home a four-foot putt.
Also in the logjam at five-under par was 2018 US Masters champion Patrick Reed, another who now plays on the controversial LIV Golf circuit.
But the 2017 Masters champion Sergio Garcia had a 72 with five bogeys and his fellow LIV-playing Spaniard Eugenio Chacarra carded a four-over 74.
Former US Ryder Cup player Anthony Kim also struggled to a 74 in only his seventh round of competitive golf since returning from a 12-year absence, and his first outside of LIV.
