Immelman has missed five cuts this year and has yet to post a Top 10 finish in 2011, but he shot a 6-under 64 for a one-shot advantage at the Greenbrier Resort's Old White TPC course.
Gary Woodland, Billy Mayfair, Steven Bowditch, Webb Simpson and Derek Lamely all shot a 65.
Brendon de Jonge, Chris DiMarco, David Hearn and Kyle Stanley shared seventh place at 66.
Phil Mickelson, starting a stretch of three straight tournaments that will conclude at the PGA Championship, was tied for 42nd after shooting a 70. Defending champion Stuart Appleby had a 71. Appleby shot a 59 on the final day to win the event in 2010.
Immelman made only one bogey and ran in a 15-foot birdie putt on his next-to-last hole to take the lead by himself.
"Obviously, I'm excited with the 64 today," Immelman said. "That's why you put all the hard work in."
Tom Watson, who skipped the U.S. Senior Open to play in this tournament, shot a 75. He holds the title of golf professional emeritus at the Greenbrier.