The elite 12-man invitational tournament is being played at the Gary Player Country Club through Sunday.
Immelman was a late replacement for Sergio Garcia and made his mark quickly. He birdied his first round holes and moved to 6-under with an eagle on the ninth.
Scott did most of his low scoring on the back nine, posting birdies at 10 and 11 and then chipping in for an eagle at 14.
Also in the field this week are Stewart Cink and Henrik Stenson, who shot even-par 72 Thursday, Retief Goosen, Niclas Fasth and Charl Schwartzel were all at 2-over 74 and Rory Sabbatini, who was victimized by a double bogey and two bogeys and shot 4-over 76.
The Nedbank challenge champion will win $1.2 million.