The U.S. veteran, in his fifth Winter Games at the age of 36, sped down the Rosa Khutor piste with a time of two minutes 07.75 seconds on a brilliant sunny afternoon in the mountains above Sochi.
"My confidence is never really my issue," he grinned as he spoke to reporters. "Unfortunately they don't give any medals for training because if they did I'd be psyched today.
"But it certainly doesn't hurt. To come out here and ski hard, ski well, first run, is great," added the five-times Olympic medallist, who aims to become the oldest man to win an Alpine gold.
Switzerland's Patrick Kueng was second fastest, a mere 0.03 slower, with Austrian Matthias Mayer third, 0.17 slower than Miller in a session in which all the top contenders skied well within their limits.
Norwegian Aksel Lund Svindal, the Olympic super-G champion and 2010 downhill silver medallist, was eighth on the timesheets.
"It was a bad run, to be honest," said Svindal, the World Cup downhill leader and an early favourite.
"I was 1.2 (seconds) behind. I would definitely like to be faster but I have some big things I need to change so I'm not too worried here."
The downhill opens the Alpine programme on Sunday as the marquee event, with the piste winning immediate plaudits for the quality of the snow and degree of difficulty.
"It's good. They didn't dumb it down much, which is nice," said Miller, the 2010 super combined gold medallist. "After the way we ran it a couple of years ago (on the World Cup circuit), everyone was complaining that everyone got hurt or was sore afterwards."
"They didn't ice the top, which is understandable," he continued, on a day when the women's training on a separate piste was halted for alterations to one of the jumps due to safety fears.
The men's course had no such problems and training proceeded without incident.
"The turns are huge up there and the swing in the turns on the top would make it very tough for guys if it was icy. It would be better for me but that's fine," said Miller.
"I still feel I have the ability to ski that top and put time on guys.
"Once you come out of the chute and all the way down, they didn't take anything away. The speeds are up, the terrain is challenging and the jumps are big. There's a lot of different places where you can make mistakes."
Miller said he had 'challenged the line' in places, going out into the soft snow on the flats, and had plenty of room for improvement.
While he had gone hard, he took it easy in places without taking too many risks: "I wasn't pushing for every ounce of speed but in the turns, I'm giving everything I've got," said the American.
Olympic champion Didier Defago, a super-G winner in Kitzbuehel last month after a lacklustre season, was 26th.
"It could suit me from the point of view of the terrain...It's physically very hard, I think everyone is feeling it a bit in their legs. We need to keep something in reserve for Sunday," said the Swiss.
Italian Christof Innerhofer, seeking to revive his 'Winnerhofer' nickname, was fifth fastest and delighted with both his performance and the conditions.
"All this season I have dreamed of finding these conditions and finally I find it," he beamed. "It's really a cool downhill. I think it will be the best of this season."