Jeong, McGill and Park all shot 7-under-par 65. Janice Moody and Christie Kerr both shot 66 to end the day tied for fourth place.
Park's bogey at the par-5 17th kept her from owning the outright lead.
"I hit so many great shots," Park said. "I can't say I hit one bad shot out there. I was hitting great iron shots to where I wanted to, it was almost pinpoint accuracy."
Five players, including world No. 1 Lorena Ochoa, shot 5-under 67 and share sixth place.
"I'm in a better place mentally," said Ochoa, who has not won a tournament since mid-May. "I'm going to do my best this week and hopefully win the trophy."
Defending champion Maria Hjorth opened with a 4-over 76, and shares 115th place with 10 others.