The Frenchman, who won a downhill in Lenzerheide two seasons ago, took advantage of the changing conditions to clock the fastest time of one minute 29.10 seconds on a course shortened because of gale-force winds at the top.
Theaux denied local favourite Aksel Lund Svindal his first victory on the downhill course of the 1994 Olympics.
Crowned downhill world champion in Schladming last month, Svindal finished second but came within 129 points of Austria's Marcel Hirscher in the overall World Cup standings.
Should he win Sunday's super-G on home snow, Svindal would be back on Hirscher's heels with only seven races remaining before the end of the season.
Downhill World Cup holder Klaus Kroell of Austria was third, half a second adrift, and remained in contention to retain his globe in the discipline. Kroell is 58 points behind Svindal.