Stenson won this event in 2006, captured the 2007 Dubai Desert Classic, and has been the runner-up twice in Qatar, including last year to Adam Scott.
Thursday, Stenson was safely in the clubhouse after an early tee time.
"I maybe didn't play my best, but I took my chances and I was putting really well," he said.
Coltart, like Stenson, began his round on the back nine, and his lone hiccup was a three-putt bogey at the sixth hole.
Jimenez finished his round with two birdies and seven pars on the back nine.
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