Nelson, 66, shot his age by turning in a 6-under 66 and was tied at the top with former champion Russ Cochran and Mark Mouland, who is in his first full year on the circuit after turning 50 in 2011.
The leaderboard was crowded at the Prestonwood Country Club with 23 players within three shots of the lead.
Kenny Perry joined those at 68 and Bobby Clampett was part of the group at 69.
Six-time major champion Nick Faldo made his first Champions Tour start on American soil and it lasted just 12 holes. He was forced to withdraw with an elbow injury.
"I was looking forward to playing and I want to play," Faldo said. "But I can't play with one arm."
Video of Victoria’s Secret models trying to 'twerk' hits Instagram
Wisconsin business offering 'therapeutic cuddling' forced to close