Stenson shot a 6-under 64 at the East Lake Golf Club and Scott was one stroke behind after the opening 18 holes.
Both players have posted a win during the PGA Tour playoffs, a four-event series that concludes with this week's tournament involving the top 30 players in the circuit's year-long points race.
The points winner will be awarded the FedEx Cup and the $10 million that goes with it.
If any of the first five players on the points list wins the Tour Championship, that player will also capture the FedEx Cup no matter what else happens in the tourney.
Stenson came into the tournament second in points and Scott was third.
Tiger Woods, ranked No. 1 in the world thanks to five victories this year and also on top of the points list, wound up next to last after the opening round thanks to a 73. He did not birdie a hole.
Billy Horschel and Steve Stricker were tied for third after Thursday's round, each having fired a 66. Roberto Castro was alone in fifth with a 67 while those at 68 included Dustin Johnson, Sergio Garcia, Charl Schwartzel, Webb Simpson, Jason Day, Justin Rose, Graham DeLaet and 20-year-old Jordan Spieth.
Heading into the playoffs, Stenson had put together a tremendous year without managing a victory. He was fifth at the Players Championship, second at the British Open, second at the WGC-Bridgestone Invitational and third at the PGA Championship.
He broke through with a victory at the Deutsche Bank Championship, the second playoff event, to become a contender for the richest prize in golf.
Stenson birdied five of the first seven holes Thursday and finished his round off a birdie at the difficult, par-3 18th -- one of just four recorded on that hole during the opening round.