Canadian Henderson, 19, hit her lowest round of the year, an eight-under-par 63, at Blythefield Country Club in Grand Rapids, Michigan.
Clyburn, 26, is one of six players tied for second after carding a 64.
Wales' Becky Morgan and Northern Ireland's Stephanie Meadow finished on two under par after rounds of 69.
England's Holly Clyburn is part of a chasing pack just one shot off Brooke Henderson's lead after the opening round of the Meijer LPGA Classic.