Davies, 41, shot a 6-under 66 at the Eagle's Landing Country Club.
Sorenstam stumbled in her bid for a record sixth consecutive LPGA Tour victory last week, but she shot a 67 Thursday to share second place with Karrie Webb and Giulia Sergas.
Davies won this tournament 10 years ago.
"It's a course I like and it's a tournament that I would never miss," Davies said. "It's one of my favorite tournaments of the year."
Last week's winner Cristie Kerr was among the large group at 4-under 68, as was defending champion Jenny Rosales.