The Swede, who has "been in bed with flu for three days" said he had "only a five per cent chance of playing" after pulling out of Tuesday's pro-am.
Stenson leads with South African Jaco van Zyl after both had bogey-free 66s.
Defending champion Danny Willett of England is third after having five birdies and no bogeys in his 67.
Willett, who finished second to Rory McIlroy in the Race to Dubai, said: "I don't think he (Stenson) can be ill. He played brilliantly.
"You've got to think that if you can stay close to him over the next few days you'll be doing well. Not too close though, he can keep his virus away!"
However, Stenson, who had all six of his birdies in his opening 10 holes, said: "From the 14th onwards my legs were like jelly and it was a real struggle.
"I completely ran out of energy. I missed a couple of chances coming in, but I would've taken one under standing on the first tee."
South Africa's Branden Grace and Open runner-up Marc Leishman are two shots off the pace in the 30-man event on four under, while last year's runner-up Ross Fisher, his fellow Englishman Matt Fitzpatrick and Scotland's Russell Knox are on three under.
Knox, who is making his first appearance as a full European Tour member and hoping to qualify for his first Ryder Cup appearance in 2016, said: "The number one reason I'm here is because I've had a great season, so it's nice to reward myself.
"It's a huge bonus and I'm not going to stress out."
Henrik Stenson overcame illness to take a share of the lead on six under after round one of the Nedbank Golf Challenge in Sun City.