The 26-year-old Englishman fired a seven-under-par 65 to sit ahead of a five-way tie for second, with compatriot Gary Boyd, Dutchman Joost Luiten, Australian Scott Strange, France's Jean-Baptiste Gonnet and Swede Fredrik Andersson-Hed Binhai Lake all on 66.
Baldwin enjoyed seven birdies on a blemish-free scorecard, picking up shots on the first, fifth and seventh before three in a row on nine, 10 and 11. He then birdied the 17th to separate himself from the pack.
"It was very good today so I am happy with that," said Baldwin, whose best finish to date on the European Tour was a tie for 10th at the season-opening Africa Open.
"I just tried to keep everything as simple as I could. My caddie and I set out this morning with a game play of trying to make 18 pars and take our chances when they came, and it turned out to be one of those days where there were a lot of chances and I managed to take a few of them."
Boyd, who is also hunting a maiden European Tour win, helped his cause with an eagle on the 12th and five birdies, although he bogeyed the sixth to cost himself a share of the lead.
"I am usually a very slow starter but there have been encouraging signs recently," he told europeantour.com.
"I went back to see my old coach a few weeks ago to see what thoughts he had on the state of my game and I have done some good practice at home on the back of that.
"Then to come out to Asia and play well last week and make a good start this week is good."
Dutchman Luiten had eight birdies in his round, but undid most of his good work with a double bogey on the fourth.
England's Graeme Storm was among a host of players two strokes off the pace, while Sweden's Alexander Noren went five under through the first 10 holes but dropped back into a tie for 15th after back-to-back bogeys on the 11th and 12th.
Among those joining him on four-under 68 were Paul Casey, winner of this tournament when it was at Shenzen in 2006, and former Ryder Cup captain Colin Montgomerie.
Ian Poulter and Peter Hanson, two weeks removed from top 10 finishes at the Masters, were on one under par.