Lee carded seven birdies and no bogeys in Kuala Lumpur to claim a one-stroke advantage over American Brittany Lang, with Paula Creamer, European Solheim Cup stars Beatriz Recari and Jodi Ewart Shadoff and South Korea's Eun-hee Ji tied for third on five under.
Lee, who won her first title at the Pure Silk-Bahamas LPGA Classic earlier this year, said: "My goal was three under par every day this week, so I feel like I'm okay for the next couple of days."
Lang, who started on the back nine and opened with four straight birdies, said: "I did a really good job. I've been swinging it good but haven't made too many putts lately. So I was just trying to commit to my lines today and really got off to a hot start. I felt really comfortable out there."
Lang picked up three more birdies and shared the lead with Lee before a poor drive led to her only bogey of the day on the ninth, her final hole.
World number one and defending champion Inbee Park carded a one-under 70 to lie six shots off the pace.
"Because of the hot weather, that really made it hard to concentrate a lot out on the course," Park said.
"So I'm trying to relax a little bit more and go for it tomorrow.
"It's hard for me to play in that hot weather. I'm not a good player in hot weather but I've had success in recent years, like this year in Thailand and last year in Malaysia. So I'll try to keep it going."