Three share lead at LPGA Drive On Championship in Arizona
Lee looked poised to take a one-shot lead at Superstition Mountain Golf and Country Club after carding nine birdies during her round.
But a bogey on the last saw the American finish with a seven-under-par 65, leaving her alongside South Korea's Jenny Shin and Mexico's Gaby Lopez at the top of the leaderboard.
Shin finished the day on seven under after catching fire down the stretch, reeling off five birdies after the turn for her 65.
Lopez joined the leaders after playing flawlessly, with seven birdies in a bogey-free round on the par-72 layout.
Lee, Lopez and Shin are one clear of England's Jodi Ewart Shadoff and Taiwan's Hsu Wei-ling, who posted six-under 66s.
Benign conditions for Thursday's first round made for low scoring.
No fewer than 10 players are bunched on five under, two off the lead, including 2019 US Women's Open champion Lee Jeongeun of South Korea and Thailand's Moriya Jutanugarn.
Seventeen players are tied for 16th a further shot back on four under, three off the lead.