Feng, China's first winner on the LPGA Tour, carded a six-under-par 66 to head American Michelle Wie and South Korean Pak Se-ri by one stroke.
Teenage amateur Angel Yin and South Korean Amy Yang are two strokes behind after a day of low scoring in ideal conditions at Mission Hills Country Club in Rancho Mirage, California.
Feng played her opening round with three-time Kraft Nabisco Championship winner Amy Alcott and was not afraid to ask the 58-year-old for advice on how to navigate the course.
"After my first drive, I was asking her the secrets about winning here," said the 24-year-old from Guangzhou.
"Before this year, I never did well here, so she was telling me the secrets (but) don't ask me what the secrets are, because they are secrets.
"I will tell you maybe after we finish Sunday but I did learn a lot from her. I was really focusing on my game but at the same time watching how she deals with the tough shots."
Feng has three LPGA Tour victories, including a major title -- the 2012 LPGA Championship.
Wie picked up five strokes in four holes around the turn, including an eagle at the par-five 11th. Her only blemish was a bogey at the penultimate hole, where she missed a short putt.
The 24-year-old from Hawaii is making her 12th appearance in the event, which she nearly won in 2006 when she finished a stroke behind winner Karrie Webb.
Wie has not yet lived up to the hype she generated as a teenager who played in several men's events, but the two-time LPGA winner is starting to adapt to full-time golf after graduating from university two years ago.
"I definitely struggled a bit between the transition period between school and playing full time, but I'm getting into the groove of it," she said.
Yin, a 15-year-old Californian playing on an invitation after making the cut last year, said good putting had been the key to her low score.
"I was staying calm and making my stroke. I really like the greens here, so my putting is better than any other course I play," she said.
Yin, however, joked that she would not be so calm if she had a chance to meet Wie.
"If she said 'hi' to me, I'd probably run."
Defending champion Park Inbee of South Korea mixed three bogeys with birdie for a two-over 74.
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