Keough edged out Liquigas-Cannondale's Marco Benfatto and Tyler Farrar of Garmin-Sharp at the line in Salt Lake City to follow in stage one winner Rory Sutherland's footsteps.
Farrar's team-mate Christian Vande Velde retained the yellow jersey going into Saturday's Queen stage.
Keough had to overcome an early crash for his victory, after a rider swung away from a team car and took out his front wheel, leaving him with scrapes on his back and a broken helmet.
"I was actually kind of bummed out because my team-mates were all riding the front," he said. "I knew I had to get up and still give it a go, because I couldn't let those guys down. That was pretty much my first thought."
"It was thanks to (his team-mates)," he added. "They pretty much rode from five minutes after the break went until the finish.
"So it was a real team effort. Our team was the first to commit. There are a couple hard stages the next two days, and we knew that everyone kind of wanted a bit of a break, and maybe even a lot of people were happy to have a breakaway maybe stick, so we wanted a bunch sprint."
Stage five sees the peloton ride the 162.8 km from Park City to Snowbird Ski and Summer Resort, a route that includes 3,048 metres of climbing. The race concludes on Sunday.