PORT LOUIS, 7 May 2015 (AFP) - Olesen, who underwent hand surgery, carded a six-under 65 to sit on top of the leaderboard with Korea’s Wang Jeung-hun and Spain’s Carlos Pigem.
Denmark's Olesen had eight birdies and two bogeys on the par-71 Heritage Golf Club having started on the back nine.
"I’ve been waiting a long time for this - three months to play a competition round,” the 25-year-old Olesen said.
"I was excited to get out there this morning. We had great conditions and I hit a lot of great putts, so it was fun.
"Being out for three and a half months is a long time, especially when you can’t do anything. You are just doing rehab training, so it is frustrating. I’m excited to be out here again and I’ll be playing a lot of golf now."
Wang said he was delighted with his round played out against strong wind and rain.
"I’m happy that I played like this and my putter was pretty nice today. The putter worked really well," said the 19-year-old whose best finish this year was 14th at the Malaysian Open in February.
"I’m enjoying my week in Mauritius. The weather wasn’t nice today but I want to keep my golf going like this.”
South Africa's Oliver Bekker and Terry Pilkadaris of Australia are on five under, with seven players tied a shot further back.
Leading first round scores in the European Tour/Asian Tour Mauritius Open at Heritage GC on Thursday (GBR/IRL unless stated, par 71):
65 - Jeunghun Wang (KOR), Thorbjorn Olesen (DEN), Carlos Pigem (ESP)
66 - Oliver Bekker (RSA), Terry Pilkadaris (AUS)
67 - Rahil Gangjee (IND), John Parry, Dean Burmester (RSA), Dan Woltman (USA), Panuphol Pittayarat (THA), Nathan Holman (AUS), Justin Walters (RSA), Madalitso Muthiya (ZIM)
68 - Mikael Lundberg (SWE), Pelle Edberg (SWE), Rikard Karlberg (SWE), Andrew McArthur, Kevin Phelan, Carlos del Moral (ESP), Borja Virto Astudillo (ESP), Masahiro Kawamura (JPN), Matthew Fitzpatrick
69 - Thomas Aiken (RSA), Mardan Mamat (SIN), Paul Peterson (USA), Ryan Cairns, Jazz Janewattananond (THA), Thanyakorn Khrongpha (THA), Scott Barr (AUS), Colin Nel (RSA), Sam Brazel (AUS)
70 - Ben Evans, Steve Lewton, Estanislao Goya (ARG), John Hahn (USA), Joakim Lagergren (SWE), Jake Roos (RSA), George Coetzee (RSA), Daniel Chopra (SWE), Keith Horne (RSA), Chien-yao Hung (TPE), Pedro Oriol (ESP), Sattaya Supupramai (THA), Ross McGowan, Neil Schietekat (RSA)