Nalini, still looking for this season's first win on the domestic tour, was two-under through 10 holes, one ahead of veteran Smriti Mehra (74).
Ankita Tiwana and Shraddhanjali Singh shot 75 each to be tied for third, while Neha Tripathi carded 76.
Vani Kapoor, winner last week, had a tough time finding birdies, which resulted in her lying sixth at the end of round one.
Sharmila Nicollet, meanwhile, has skipped this week's event, too.
This is the first-ever women's pro event at the RSGC, considered as one of most beautiful courses in the region. The course has in the past hosted men's event, but the first round today marked the first women's pro event.
With the first three legs of the Hero-WGAI having produced three different winners, Nalini, who is yet to win this season, staked her claim with a fine round.
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Nalini finished third in the first two events and was fourth in the third leg.
In the first round of the fourth leg she had three birdies against a bogey within the first holes, but after that she managed only one more birdie, against four bogeys.
Smriti, who won the second leg, had five bogeys and three birdies, including one on the last, the 18th. She was particularly disappointed at having bogeyed each of the four par-fives.
Ankita had only two birdies against five bogeys, while Shraddhanjali had three birdies against four bogeys and one double bogey.
Vani opened in style with a birdie on par-5 first, but thereafter struggled to sink her birdie putts. She also dropped a bogey on fourth and a double on ninth. On the back nine, she bogeyed the 10th, 11th and 18th.