Montgomerie opened with a level-par 70 in the Constellation Senior Players Championship at Philadelphia Cricket Club to lie joint-sixth.
The 52-year-old offset bogeys at the fourth and 11th with birdies at the second and 11th to sit just two shots behind the leader, American Jay Don Blake.
Helped by three birdies in the last four holes, Blake leads by a shot from three of his compatriots, Brandt Jobe, Jeff Sluman and Brad Bryant, as well as Fijian Vijay Singh.
Tom Watson opened with a 71, as did defending champion Bernhard Langer, who was leading until he dropped three shots in the last four holes.
Sandy Lyle dropped five shots in six holes at the end of the front nine before finishing bogey-bogey in his 77 to sit joint-68th.
Rocco Mediate, who held off Montgomerie to win the Senior PGA Championship last month, opened with the same score as Lyle.
In the KPMG Women’s Championship in Sammamish, Matthew is sitting below the projected cut line in joint-83rd after an opening five-over-par 76.
The 46-year-old started brightly with a birdie at the fourth before dropping shots at the fifth, eight and 12th then taking a triple-bogey 6 at the short 17th.
It left her alongside England’s Holly Clyburn, her rival in the battle to join Charlet Hull in Team GB at the Olympics in Rio.
Aided by a hole-in-one at the 13th, Canadian Brooke Henderson holds the lead after a 67, two ahead of American Christina Kim and In-Kyung Kim from South Korea.
Norway’s Suzann Pettersen opened with a 70 to sit in a big group in joint-fourth.
On the PGA Tour, Martin Laird is seven shots off the lead after carding a two-over 72 in the first round of the FedEx St Jude Classic at TPC Southwind in Memphis.
Korean Seung-Yul Noh is the joint-pacesetter along with American pair Tom Hoge and Shawn Stefani, while Welshman Jamie Donaldson, Europe’s match-winner in the 2014 Ryder Cup at Gleneagles, is just a shot adrift.