WENTWORTH, May 22, 2014 (AFP) - McIlroy - in the spotlight following his split with tennis star Caroline Wozniacki - fired a four-under par 68, which included two eagles, but Bjorn carded a ten-under par 62.
Bjorn shot eight birdies and an eagle in a ten-under par 62 to take early command before a rain delay and a quarter of the field will have to finish their first rounds on Friday.
Ireland's Shane Lowry is Bjorn's closest pursuer after handing in a 64, Spain's Rafa Cabrera-Bello had a 65 whilst France's Gary Stal signed for a 66.
The 43-year old Bjorn played the back nine in 30, seven-under par, and finished with eight birdies and eagle to equal Robert Karlsson's mark set back in 2010.
Karlsson's 62 was against a par of 71, rather than the current 72, and Bjorn's score has now been officially recognised as the record on the altered lay-out.
Bjorn's score is the lowest ever opening round in the 60-year history of the tournament - the European Tour's flagship event.
McIlroy holed a pitching wedge approach shot from 130-yards for an eagle on the par-4 seventh and hit a 5-iron 203 yards to within a foot for his second eagle on the 12th.
He has a poor record at Wentworth, missing the cut in the last two years, but looks primed to get to the last two rounds despite his off-course distractions.
McIlroy said: "At times it was difficult but once I got over the shots I started to concentrate on them - I am just trying to put my head into golf.
"It was my best round at Wentworth for a while and I am excited to try and shoot something even better.
"I would be delighted to make the weekend because I haven't done that the last couple of years."
Ryder Cup hopes
Bjorn's round rekindled hopes that he could make the European Ryder Cup team for the September's match against the United States.
He last represented Europe in the Ryder Cup as a player in 2002 but has been a vice-captain three times since.
And the veteran is desperate to get back into the thick of the action when the United States visit Gleneagles in Scotland for the 2014 renewal.
Bjorn said: "We all want to play in it. It would be a great achievement for me as it is 12 years since I was last in the team.
"I have watched a lot from the side lines and that can hurt a little bit at times. I wanted to play in another Ryder Cup and I've got to stay focussed and keep playing good golf to there. I am determined to do that.
"I still think I need to do a lot more - there are a lot of guys playing great golf at the moment - there is a long way to go and some very big tournaments on the way."
The Dane finished with a flourish making a four at the par-5 18th for the lowest opening of his European Tour career and his lowest round of the season so far.
"On the European Tour there is no bigger stage than this. This is our event."
Three-time major winner Padraig Harrington also showed glimpses of a return to form by handing in a 69, three-under par.
Spain's Sergio Garcia completed a one-over par 73 before withdrawing from the tournament with a knee injury.
Garcia said: "With the US Open coming up I don't want it to get worse."
Leading scores from the first round of the European PGA Championship here at Wentworth on Thursday (par 72) - COMPLETED ROUNDS ONLY
62 - Thomas Bjorn (DEN)
64 - Shane Lowry (IRL)
65 - Rafa Cabrera-Bello (ESP)
66 - Gary Stal (FRA)
67 - Justin Walters (RSA), Fabrizio Zanotti (PAR), Anthony Wall (ENG)
68 - David Horsey (ENG), Martin Kaymer (GER), Henrik Stenson (SWE), Thomas Aiken (RSA), Jonas Blixt (SWE), Rory McIlroy (NIR)
69 - Padraig Harrington (IRL), Marcel Siem (GER), Gregory Havret (FRA), Simon Dyson (ENG), Pablo Larrazabal (ESP)
70 - Stephen Gallacher (SCO), Branden Grace (RSA), Robert-Jan Derksen (NED), Bernd Weisberger (AUT), Richie Ramsay (SCO), Craig Lee (SCO), Peter Whiteford (SCO), Richard Green (AUS), Andy Sullivan (ENG), Joost Luiten (NED), Ian Poulter (ENG), Justin Rose (ENG)