Thompson, 19, won the Kraft Nabisco Championship earlier this year for her first major championship title.
South Korea's Lee is a two-time winner on the LPGA Tour, but is seeking her first major.
The duo were one stroke in front of American Brittany Lincicome, the 2009 Kraft Nabisco winner, who was joined in third place on 67 by Canadian Jennifer Kirby and Colombian Lisa McCloskey.
American Cristie Kerr and China's Feng Shanshan, both former winners of this event, shared sixth on 68.
Thompson charged into contention with three birdies in her first five holes.
She had seven birdies through 15 holes before she was slowed by back-to-back bogeys at 15 and 16, but capped her round with a birdie at 18.
"Overall it was just a really solid round," Thompson said. "I started off with birdieing two and three, so that got me a little confidence early in the round, and I just tried to keep that going, pretty much keep that steady pace going."
Thompson, who played alongside defending champion Park In-Bee (72), said her length off the tee was an advantage.
"Coming into the week I knew this golf course was going to be set up good for me," she said. "I get to hit driver on every hole, but you just have to hit it straight in majors because usually they grow the rough up pretty deep, and that's what majors call for."
She was philosophical about three-putt bogeys at 15 and 16.
"I just didn't have good speed on the two putts and didn't make the come-backers," she said. "It happens, it's golf. You're going to hit bad shots and miss putts, so I just tried not to let it get to me and just tried to birdie one of the last two.
"It was the harder one of the holes, so I was pretty happy about that."
South Korea's Lee also nabbed eight birdies with two bogeys.
After opening her round with a birdie at the 10th, Lee answered her first bogey of the day at 13 with three straight birdies.
She picked up four more birdies with one more bogey coming in.
"It was little windy out there this morning, but I putted really good today," Lee said. "So I was really happy with my play."
South Korea's Ji Eun-Hee and Lee Mi-Rim -- winner on Sunday in Michigan -- were among a group of eight players three shots off the pace on 69.
New Zealand teenager Lydia Ko, who could seize the world number one ranking with her first major title this week, headlined a group of 13 players on 70.
- Sports & Recreation
- Kraft Nabisco Championship
- Lexi Thompson
- Meena Lee