Davis, a former Australian Open champion, shot an impressive three-under-par 69 to be tied second, just two shots adrift of Canadian leader Corey Conners.

The 26-year-old could have found himself even higher up the leaderboards save for a loose drive on the par-4 sixth hole that careened into a penalty area and ultimately led to a triple bogey.

But showing maturity beyond someone in just their second major championship, Davis immediately rebounded with a birdie on the seventh and then produced a stunning eagle on the 11th after a 381-yard drive was followed by an eight-iron from 186 yards to just eight-feet.

Canadian Corey Conners leads at five-under after the opening round of the 103rd PGA Championship. PHOTO: Patrick Smith/Getty Images.

Davis pushed his score to three-under with birdie at the 14th before he survived what many before him couldn't – the brutal last four holes that played dead into a stiff wind.

"I needed to forget about that drive on six, it was just one bad strike," Davis told AAP.

"It helps when you're hitting the ball in pretty good spots and not really having to stress too much otherwise."

Davis said he would continue to use the same plan of not watching the leaderboard when he returns early Friday, refusing to let the occasion get to him.

"This is what works for me so I'll look to keep it going. I won't look at any scores or highlights tonight, and I'll be ready to get going tomorrow with some momentum from my finish," Davis said.

"If I play my game my way that's what will ultimately give me my best chance to do well."

Fellow former Australian Open winner Matt Jones felt the brunt of the finishing holes which saw 17, 18 and 15 ranked well over par as the hardest on the course.

Conners defied the tough conditions to take the lead with a five-under 67 and held the two-shot buffer over Davis plus four-time major winner Brooks Koepka, young Norwegian star Viktor Hovland, American Aaron Wise, England's Sam Horsfield and 2011 PGA Championship winner Keegan Bradley.

Australia's highest-ranked player Cameron Smith shot an even-par 72 after also leaking two shots late.

Jason Scrivener, a regular on the European Tour, matched Jones with a 73 while Marc Leishman battled his way to a two-over 74. That's where former World No.1 Jason Day, the 2015 PGA champion, also finished.

Former Masters champion Adam Scott signed for a six-over 78, while Lucas Herbert battled away to a four-over 76.