MOSCOW, July 24, 2014 (AFP) - The 29-year-old, who won the last of his two European Tour titles in Morocco three years ago, birdied three of his last seven holes for a seven under par total at the Tseleevo Golf and Polo Club.
Horsey, who fired seven birdies in total on the par 72 course, is one shot clear of Scottish duo Scott Jamieson and Peter Whiteford, with eight golfers a further shot back.
"It was very solid," said Horsey. "I birdied the first and then had a few shaky holes where I managed to scramble pars with eight to ten footers.
"After that it was flawless and probably could've been a few better. It was a bit breezier this afternoon, but I was just trying to concentrate on giving myself opportunities to make birdie."
Former world number one tennis player Yevgeny Kafelnikov, one of ten Russians competing, fired an 11-over 83 with one birdie, six bogeys and three double-bogeys.
Kafelnikov, 40, a former Australian Open and French Open winner who retired in 2003, turned to professional golf three years ago.
Leading first round scores in the European Tour Russian Open at the Tseleevo Golf and Polo Club on Thursday (par 72):
65 - David Horsey (ENG)
66 - Peter Whiteford (SCO), Scott Jamieson (SCO)
67 - Maximilian Kieffer (GER), Jack Doherty (SCO), Rikard Karlberg (SWE), Oliver Bekker (RSA), Jack Wilson (AUS), Gaganjeet Bhullar (IND), Louis De Jager (RSA), Thomas Pieters (BEL)
68 - Jamie McLeary (SCO), Jorge Campillo (ESP), Oskar Henningsson (SWE)
69 - Joachim B Hansen (DEN), Adrien Saddier (FRA), Gary Boyd (ENG), Sam Walker (ENG), Damien McGrane (IRL), Kevin Phelan (USA), Matthew Nixon (ENG), Nacho Elvira (ESP)
70 - Carlos Del Moral (ESP), Adam Gee (ENG), Phillip Price (WAL), Rhys Enoch (WAL), Mathias Gronberg (SWE), Carlos Pigem (ESP), Simon Wakefield (ENG), Andreas Andersson (SWE), Adrian Otaegui (ESP), Simon Thornton (IRL), Bradley Dredge (WAL), Fredrik Andersson Hed (SWE)
71 - Roope Kakko (FIN), James Heath (ENG), Jonathan Fly (USA), Richard Finch (ENG), Stuart Manley (WAL), Morten Orum Madsen (DEN), Chinnarat Phadungsil (THA), James Morrison (ENG)
Selected:
72 - Soren Hansen (DEN), Edouard Dubois (FRA), Krister Eriksson (SWE)
73 - David Drysdale (SCO), Gunn Charoenkul (THA), Andreas Harto (DEN)
74 - Seuk-hyun Baek (KOR), Joakim Mikkelsen (NOR), Jaco Ahlers (RSA), Nick Dougherty (ENG), Mikko Korhonen (FIN), Johan Carlsson (SWE), Peter Erofejeff (FIN), Arnod Vongvanij (THA), Alexandre Kaleka (FRA)
75 - Soren Kjeldsen (Den), Berry Henson (USA), Rene Gruber (AUT), Roland Steiner (AUT), Alastair Forsyth (SCO), Poom Saksansin (THA), Huang Wen-yi (CHN)
76 - Pavel Goryainov (RUS), Marc Dobias (SUI), Shiv Shankar Prasad Chowrasia (IND)
77 - Jose Manuel Lara (ESP)
78 - Jazz Janewattananond (THA)
79 - Merrick Bremner (RSA), Masahiro Kawamura (JPN)
80 - Daniel Vancsik (ARG), Jake Roos (RSA)
82 - Peter Gustafsson (SWE)
83 - Yevgeny Kafelnikov (RUS)