Texas native Palmer fired an eight-under 62 to sit one ahead of his neighbour Rollins and two clear of a group of four players on six under at the end of day one.
Starting from the 10th, Palmer carded eight birdies - including a run of five straight from the 14th - without dropping a shot, while Rollins' only blemish was bogey at the 12th.
Both men live within a few miles of Colonial and are members of the club, but neither has had any notable success there.
"It helps, obviously, the experience I have had here," Palmer told pgatour.com.
"I felt comfortable over every tee shot. The way I hit it, I drew it up perfectly like I wanted to."
Rollins enjoyed the experience of shining alongside his some-time practice partner.
He said: "I think it's pretty cool. It would be fun if we could fast forward this to Sunday."
Leading the quartet on six under was another man who is no stranger to Colonial in John Peterson.
Peterson, who was born in Fort Worth, grew up nearby and whose family were members, carded seven birdies against a single bogey to sit alongside Morgan Hoffman and a pair of Canadians, David Hearn and Graham DeLaet.
Matt Kuchar was among the players on five under, while Swedes Carl Pettersson and Freddie Jacobson led the European challenge on four under.
England's Brian Davis, who has already had a productive week having booked his place at the Open at a qualifying tournament in Texas on Monday, was three under.
Defending champion Zach Johnson was seven off the lead after he finished with a one-under-par 69.