The US PGA champion shot a six under par 66 to sit alongside Sweden's Joakim Lagergren at the top of the leaderboard at Wentworth.
McIlroy, who shot 60 in Wednesday’s pro-am, started with another blitz of birdies to get to five under through 10 but fell back to three under with three bogeys in his final five holes.
Rai was the pick of the bunch from the marquee group, also including British Open winner Ryan Fox, as he picked up six birdies alongside just one bogey at 16.
"Really good start," said the Englishman. "I felt like I got into the round fast and got a couple of birdies early on and continued to just play well throughout the round and keep the momentum going when I was out of position."
Ludvig Aberg, Adam Scott, Ryan Gerard and Nacho Elvira are in the group of four just one shot off the lead.
Fox is among the pack two shots off the lead alongside European Ryder Cup winners Bob MacIntyre and Viktor Hovland.
Fresh from heroics on home soil at the Irish Open last week, Shane Lowry carded a 71.
Jon Rahm had a nightmare start as a six over par round of 78 leaves the Spaniard battling to make the cut.