Koepka, who missed last year's Masters with a wrist injury, used a combination of jaw-dropping power and laser-like irons to card a six-under-par 66 to sit atop the leaderboard with Bryson DeChambeau.
American Koepka, who does not have a top-10 finish in three starts at the Masters, enjoyed a four-hole birdie run from the 12th to pull ahead but had to settle for a share of the lead after DeChambeau closed with four consecutive birdies.
DeChambeau, who was playing two groups ahead of Koepka and nearly aced the par-three 16th, almost walked into the clubhouse with the outright lead but his approach at the 18th rammed into the flagstick and settled inches away for a tap-in birdie.
"Oh man, should've pulled the flagstick," DeChambeau joked after watching a replay of the near eagle.
Mickelson, who at 48 is bidding to become the oldest Masters champion, stormed home with five birdies over the last seven holes to add more power to a leaderboard that lacked punch for most of the day.
Sitting two shots off the pace after a sunny day at Augusta National where the wind picked up slightly as the day went on, were world number two Dustin Johnson and Englishman Ian Poulter.
Former Masters champion Adam Scott, Spaniard Jon Rahm and South African debutant Justin Harding were in a group of five players sitting three shots back.
Four-time champion Tiger Woods, who missed a number of short putts in the early going, whipped the galleries into a familiar frenzy as he earned a share of the early lead until a bogey at the 17th where he missed a nine-footer for par.
The 43-year-old Woods was in a good groove but started to look a bit unsettled after an errant tee shot at the par-four fifth hole where he made his first bogey of the day and then went on to miss several short putts.
But Woods gathered himself and made birdie at the ninth and added another pair on the back nine, including at the par-four 14th where he lofted his approach over the trees to within 25 feet and then drained his putt to grab a share of the lead.
"I feel like I played well today and I controlled my golf ball all day," said Woods, who is among a pack of 10 golfers four shots behind the co-leaders after a two-under-par 70.
"I've shot this number and won four coats, so hopefully I can do it again."
Rory McIlroy, got his quest to become only the sixth player to complete the career grand slam of golf's four majors off to a rough start with a roller-coaster one-over-par 73.
The Northern Irishman was chugging along at two over for the day and then made a late charge with three birdies over a four-hole stretch starting at the 13th but closed with consecutive birdies to take any shine off his round.
"The conditions weren't that difficult. I mean I felt the course was there. It's soft. There's not much wind," said McIlroy.
"I just made too many mistakes. And that was the problem. And I'm making mistakes from pretty simple positions."
Defending champion Patrick Reed (73) had a roller-coaster round that included five bogeys, two birdies and an eagle.