Australia's Su Oh -- making her debut at the tournament -- was one shot behind Ko, while Sweden's Madelene Sagstrom and Norway's Suzann Pettersen fired 66 to join Feng in tied third place at the TPC Kuala Lumpur.
Ko, who is chasing her first LPGA victory in 15 months, got a head start with one her best rounds of the years that included seven birdies.
"I was making putts today," she said. "To me, it's really about confidence and momentum."
China's Feng also fired an impressive round in tropical conditions that included five birdies, putting her in contention for her a third victory in the $1.8 million tournament.
"It would be great if I can do it," she said. "I'm really enjoying coming back every year."
"I left myself so many birdie chances -- I actually missed a couple out there. I think that means maybe I can still make more on the weekend."
Sagstrom, 24, made an impressive start in her first time playing at the Malaysian event, and is coming off a career-best finish of tied fourth in last week's Taiwan LPGA Championship.
"I'm kind of relaxed," she said, adding: "I think I put a little bit too much pressure on myself throughout the year, and right now I'm at the point where I've achieved all my goals for the season."
Unpredictable weather could make play challenging for the 78-golfer field, with conditions sometimes changing from intense heat to thunderstorms within minutes.