Englishman Davis piled up six birdies in a sizzling seven-hole stretch from the par-five fifth on the way to a six-under-par 65 at the picturesque Harbour Town Golf Links in Hilton Head Island, South Carolina.
Seeking his first US Tour title in his 261st career start on the US circuit, Davis made the most of ideal scoring conditions to end the day one ahead of Americans Kevin Streelman and Charley Hoffman.
Australians Jason Day and Marc Leishman, who both finished in the top five at last week's Masters won by their compatriot Adam Scott, and American Johnson Wagner opened with 67s.
Defending champion Carl Pettersson of Sweden was a further stroke back, level with 15 others including Americans Hunter Mahan, Bill Haas and US Open champion Webb Simpson, Japan's Ryo Ishikawa and South African Tim Clark.
Davis, who called a two-stroke penalty on himself to be beaten by American veteran Jim Furyk in a play-off for the 2010 Heritage title, began his surge up the leaderboard with a birdie at the fifth followed by a chip-in at the par-four sixth.
"It's one of them things, next hole I left myself an easy, easy chip, and I played great golf after that," Davis said after a round which included eight birdies and two bogeys.
"I wasn't worried about my score or about my misses, I was just playing. Whenever you get that feeling, it's always a great feeling to have because it's enjoyable."
Davis, a double winner on the European Tour who switched his focus to the US Tour in 2005, said he had tried to bury the memories of his 2010 play-off defeat at Harbour Town.
"It's good in this game to have a short memory, good or bad," the 38-year-old added. "I still have people stop me in the street or at the golf club or at airports."
At the 2010 Heritage tournament, Davis was assessed a two-stroke penalty on the first extra hole for making contact with a loose impediment in a greenside hazard when playing his third shot.
On his backswing, the Englishman clipped a dry reed with his club before splashing out to 30 feet and immediately called over a rules official to clarify the situation.
Having been penalised, Davis went on to miss his long-range putt and conceded the title to Furyk, who was six feet from the cup after three shots at the par-four 18th.
"People do remember, but for me I'm just trying to move on from that," said Davis. "I'm trying to win a golf tournament."
Australian Day, who squandering a two-shot lead late in the final round of last week's Masters before finishing in third place, was delighted to maintain his good form in the much more relaxed surrounds of Harbour Town.
"Playing last week it felt like there was pressure the whole week," the 25-year-old said after recording four birdies in a bogey-free display.
"Coming into this week it's pretty laid-back, but it is a PGA Tour event and I want to do well."
American world number five Brandt Snedeker, who was a co-leader going into the final round of the Masters before falling back into a tie for sixth with a closing 75, and Open champion Ernie Els of South Africa opened with 73s on Thursday.
"A few loose shots here and there and maybe a little over-confidence," 2011 Heritage champion Snedeker said after bogeying four of his first nine holes. "It's a good little wake up call."
English world number six Luke Donald carded a 69, ninth-ranked American Matt Kuchar a 70 and double Major winner John Daly a 71.
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