On a course at Alferini Golf described as “fiddly” by compatriot Laura Beveridge, Henry carded a three-under-par 70 to sit handily-placed in joint-16th as England’s Cara Grainer set the pace with a 66.
Henry, a two-time tour winner, started her round at the 11th and birdied both that and the 17th, another par 5, before running up a double-bogey 6 at the 295-yard fourth.
However, she then birdied three of the next four holes before finishing with a par to get off to a promising start at the Benahavis venue.
Henry, who tied for fifth in the Aramco Team Series in New York in October, came into the event sitting 53rd in the Costa del Sol Rankings.
However, a strong end to the campaign could see her jump above both Beveridge and Thomson, who are currently 31st and 34th respectively, in the final standings.
Thomson, who started at the first, was four-under with two holes to play, having birdied third, eighth, 11th, 12th, 15th and 16th, before running up a double-bogey 7 at the 17th.
She sits joint-24th, with Beveridge, who was five-over for the day before finishing with three straight birdies, sharing 59th spot after signing for a 75.
On a day when Grainer, carded nine birdies, world No 11 Leona Maguire is already lurking ominously after opening with a 68 that was illuminated by an eagle-3 at the eighth.
“It was really solid round,” said the Irish star. “I had a fantastic season on the LPGA. It was nice to finish that off with a second place (behind Lydia Ko in the CME Tour Championship) and hopefully I can finish the year off strong here.”
Swede Linn Grant, who leads the 2022 Race to Costa del Sol title battle, also opened with a 68 after being two-over following three holes. “I started off a bit nervous and stiff,” said the four-time winner this season. “But I found something and got it going."
However, compatriot Maja Stark, who trails Grant by just 69.77 points in the fight to be No 1, is only a shot behind after an opening salvo that contained six birdies.