The 21-year-old time trial specialist set a blistering time of 10:26 over a flat but technical course to beat Britain’s Geraint Thomas (Team Sky) and Denmark's Alex Rasmussen (Garmin-Barracuda).
Welshman Thomas finished nine seconds slower than Phinney, with Rasmussen a further four seconds in arrears.
Reigning champion Michele Scarponi (Lampre-ISD), the last of 198 riders down the start ramp, came home in lowly 135th place - over a minute down on stage winner Phinney, and 27 seconds slower than his GC rival Ivan Basso (Liquigas).
Of the other race favourites, Canada's Ryder Hesjedal fared best with a time of 10:55, 29 seconds slower than Phinney. Roman Kreuziger (Astana) came home in 11:02 three seconds ahead of Basso, with Joaquim Rodriguez (Katusha) another four seconds off the pace.
Frank Schleck (RadioShack Nissan) set a time of 11:25, a surprise seven seconds quicker than Scarponi and four seconds faster than the Italian's Lampre team-mate Damiano Cunego. Frenchman John Gadret (Ag2r-La Mondiale) finished in 162nd place, 10 seconds slower than Scarponi.
Lithuanian rider Ramunas Navardauskas (Garmin-Barracuda) led the time trial for a long time after setting an early landmark effort in sunny but chilly north Denmark.
The lead then changed hands three times in quick succession, with first Manuele Boaro (Saxo Bank) toppling Navardauskas before Thomas bettered the Italian.
Thomas, who won the prologue of the Tour of Romandie a fortnight ago, assumed the lead for just minutes before Phinney shaved nine seconds off the Welshman's time.
Phinney, son of former professional racing cyclist Davis Phinney and former Olympic gold medal cyclist and speed skater Connie Carpenter-Phinney, takes the first maglia rosa of the 2012 Giro, the 95th edition of the race.
The victory is the first in a Grand Tour for Phinney, who at 21 years and 313 days becomes the youngest rider since the late Laurent Fignon to wear the pink jersey in the Giro.
The Giro continues on Sunday with the second of three stages taking place in Denmark: a 206km largely flat ride to and from Herning.