Stephen Gallacher also shot a respectable level-par 71 - after purchasing a last-minute woolly hat - while Martin Laird headed straight back to the practice range after carding a one-over 72.
Knox's round was all the more special given that the heavy showers on Tuesday, along with his absence from Wednesday's Pro-Am, meant he only managed nine holes of practice .
"I'm standing here in three layers as it was freezing out there this morning and the ball was going absolutely nowhere," he said. "But then I managed to get to three under a few times and my only two bogeys come from wedges in my hand. Despite dropping a shot on 18 I'm thrilled."
The PGA Tour-based Knox, who went so close to victory in the recent Honda Classic, is still awaiting advice on whether Scottish Open organisers will afford him an invitation.
Gallacher ended his round at noon local time, still wrapped up under three layers in the bright but very cold conditions at Harbor Town.
It took a while for his putter to warm up, as well. He holed a 25-foot birdie putt at his last hole after bogeying his opening two holes. He did, unfortunately, card a double bogey after finding the water guarding the green at the par-three 17th, that Gallacher was playing as his eighth.
"It was a great way to finish as I never got a practice round what with the rain and the pro-am, so I just had a walk around the course," he said. "Given that I am happy with level as it's not easy out there, and it was so cold I had to buy a woolly hat.
"Overall I'm pleased as it was a tough day and for par or better you must have played half-decent."
The Scot, who is battling a head cold, said he was also feeling "drained" after playing all four rounds last week in his first Masters at Augusta National. "I do feel a bit jaded physical and mental but I just enjoyed the whole Masters experience and to post three scores par or better in my first Masters was pretty good, and it's just that I got unstuck around the turn in my third round.
"But I learned so much last week about my game and even though I am tired, I am already looking forward to hopefully going back next year."
Laird, returning to competition after a fortnight's break, had the shot of the day: a 177-yard 2-iron to five feet for an eagle 3 at the fifth.
At the weather-affected Maybank Malaysian Open, Lee Westwood and Nicolas Colsaerts rediscovered top form to set the pace in the first round. Westwood's best finish so far this season was a share of seventh place in the Masters, while Colsaerts has not recorded a single top-15 finish on the PGA Tour in 2014.
Scotland's Scott Jamieson was in a four-way tie for fifth place on four-under par with two holes remaining. Craig Lee shot 69 and was in a share of ninth place on three under, with Marc Warren sitting with the same score after 13 holes.
Colsaerts had eight birdies and two bogeys in his 66. "I've waited for a round like this since January 1," the Belgian said with a grin.