By Larry Fine

SPRINGFIELD, New Jersey (Reuters) - Jimmy Walker shrugged off some recent struggles to shoot a five-under-par 65 and claim the first-round lead in the PGA Championship at a hot, steamy Baltusrol Golf Club on Thursday.

Major winners were close behind.

Lurking in striking range was world number one and defending champion Jason Day who, despite not setting foot on the course until Wednesday, patiently plotted his way through the 7,328-yard layout to shoot 68.

British Open champion Henrik Stenson was even closer after a birdie at the par-five 18th for 67.

Despite lively afternoon winds and the wear and tear on the greens for the later starters, twice major winner Martin Kaymer of Germany posted a 66 to join Argentina's Emiliano Grillo and Englishman Ross Fisher in a tie for second.

Walker, who has missed four cuts in his last eight events including the U.S. Open and British Open, found his form at the year's last major.

"I just haven't been scoring, I haven't been making the 15, 18-footers you need to make to start running up the leaderboard," said Walker who won three times in 2014 and twice last year but has just three top-10s from 19 events this season.

The 2014 U.S. Ryder Cup player made good use of his putter on Thursday, making four birdies over his first nine after starting at 10 and gaining two more strokes at the first and seventh to take a one-shot lead.

Fisher birdied the two closing par-fives for a big finish while Grillo was boosted by back-to-back birdies from the 14th.

Grillo, who won the Frys.com Open to start his season, said he gained confidence from his tie for 12th at this month's British Open.

"Playing well anywhere in the world, it helps your confidence," Grillo, 23, told reporters. "Bringing that into this tournament, one of the biggest four on the planet, it's a big boost."

Day's preparation was disrupted by a bug he caught from his children and an emergency trip to the hospital with his wife who had a bad allergic reaction on Tuesday night.

But the Australian showed no ill effects from his quick study of Baltusrol.

"I played good today. Drove it very nicely and hit a lot of good iron shots," Day said.

"To be able to go out there and hit it exactly where I'm going and see the shot and what I need to do and actually execute it was exciting for me. Really positive stuff going into the next three rounds."

Day's playing competitors Rory McIlroy and Phil Mickelson did not fare as well.

Twice PGA winner McIlroy struggled with his putting and shot a four-over 74 without a single birdie.

MICKELSON REVIVED

Phil Mickelson, who won the 2005 PGA Championship at Baltusrol, was also four-over after a bogey on his 11th hole but revived with three birdies in a five-hole stretch from his 12th to card a 71.

"To come out and hit shots like I hit those first 11 holes was very disappointing," said the American, who waged a sensational duel with Stenson at Royal Troon, shooting 65 in finishing runner-up at the Open.

"However, I'm proud that I hung in there, fought and got three back coming in. If I go out tomorrow and just play a good round, I think I can shoot mid-60s and get back in it."

Stenson's playing competitors -- the season's other major winners -- had mixed results.

Masters champion Danny Willett birdied the last for 71, while U.S. Open winner Dustin Johnson stumbled to four bogeys and a pair of double bogeys in his 77.

Thirty-five players broke par but nobody in the group of Jordan Spieth (70), Bubba Watson (71) and Sergio Garcia (71).

(Editing by Ken Ferris)