They each shot a 6-under 66 at the Prestonwood Country Club.
Thorpe pleaded guilty in a Florida court this week to failing to pay $2 million in income taxes during a three-year period beginning in 2002.
Cochran struggled early in his rookie season, but finished among the Top 20 at the Senior British Open and was third at the U.S. Senior Open.
"Those really gave me a big boost," Cochran said.
Watson has won four times on the Champions Tour, but has only two Top 10 finishes this season.
Nick Price, Andy Bean, Tom Jenkins, Bobby Wadkins, Scott Simpson, D.A. Weibring and Chip Beck were tied for ninth at 68.