Xander Schauffele fired a seven-under-par 64 to claim a three-shot first-round lead, with Day's 68 leaving Australia's former world No.1 in a seven-way share of fifth.
Day opened eagle-birdie to be three under through two holes, but rued cooling off as two bogeys offset two more birdies at Quail Hollow.
"Got off to a really nice start. A little scrappy on the back side, I would say," he said.
"Just missed a couple of easy up-and-downs."
Day still finished as the leading Australian, two strokes ahead of Cam Davis at one under, with Adam Scott carding an even-par 71.
With the course playing considerably tougher than previous years, Day reckons the tournament will prove the perfect tune-up for next week's PGA Championship, which he won in 2015 and finished second a year later.
"You would rather this test than something where it's super easy and it's super receptive," he said.
"We don't know what we're going to get next week in Valhalla. Last time I played there we had a boatload of rain and it was soft.
"But if we do get good weather, they're going to firm the greens up pretty good.
"So it's kind of nice to be able to come from a week like this where the course set-up is really nice, the conditions are tremendous and then getting into a major.
"It kind of feels like a mini major here this week."
Schauffele enjoys a three-shot advantage over Northern Ireland's world No.2 Rory McIlroy, a three-time winner of the tournament, fellow American Collin Morikawa and Sweden's Alex Noren.
Schauffele started on the back nine and birdied five of his first eight holes before making his only bogey of the day at No.18.
After a quiet start to the front nine, he threw a dart on his second shot at the par-5 seventh hole, his ball glancing the side of the cup for a would-be albatross before leaving him just five feet for eagle to get to six under.
Schauffele's drive at No. 8 flew far right, but he managed to find his ball and was allowed to move non-embedded rocks out of his path before hitting his second shot onto the green.
He followed that critical par save with a six-foot birdie putt to end his day with a flourish.
McIlroy's highlight was a perfectly struck 50-foot eagle putt at No.7 that gave him the solo lead at the time at five under.
The rest of his day was a series of bogeys and bounce-back birdies until he failed to save par from seven feet at No.18.
Justin Thomas, Russell Henley, Taylor Moore, Lee Hodges, South Korea's Sungjae Im and Austrian Sepp Straka were also three under with Day.
With Reuters
