The Northern Irishman has won every other World Golf Championships title and is hoping to complete the clean sweep this week in Mexico City.
McIlroy, who triumphed at the most recent one, the WGC-HSBC Champions, in November, set up his fast start by hitting a stunning second shot into the par-5 11th hole - his second - for an eagle.
The four-time major winner then signed off with a pair of closing birdies to give himself a cushion at the top of the leaderboard from Bubba Watson and Justin Thomas.
Louis Oosthuizen, Bryson DeChambeau, Billy Horschel and Corey Conners are all a shot further back on three-under, while Tyrrell Hatton, Paul Casey, Patrick Reed and Lee Westwood all carded 69s to sit four off the lead.
“It was good," said McIlroy of his day's work. "All aspects of my game were working pretty well today. I drove the ball well, and I took advantage of that.
"I think the big thing was I putted well. I didn't putt so well at Riviera last week. I went back to my old putter, I was trying a new one last week. It didn't quite work out the way I wanted it to, but I was comfortable on the greens today and holed some nice ones coming in.
“I've always played well at altitude. I've played well in Crans over in Europe a few years. I finished second there last year, I obviously finished second here last year. I think I've got the altitude pretty figured out.
“I think I have a pretty good formula for it, and I can hit the ball a long way here, which helps, and then my distance control has been pretty good. That combined with not really guessing too much over things. Certainty goes a long way, especially around this place.”
Dustin Johnson, the defending champion, could only manage one birdie as he opened with a five-over 75 to sit alongside Scottish No 1 Bob MacIntyre in a share of 62nd spot in the 72-strong field.
In just his second WGC and first outing on this course, MacIntyre was one-under after 11 holes before carding a bogey and two double-bogeys over his closing stretch.