Daly, winner here in 1995 after a play-off with Costantino Rocca, took advantage of a defenceless Old Course to card an opening six under par 66, but was left thinking about what might have been.
The flamboyant American - wearing a trademark pair of garish purple and green trousers - was in the sixth group out at 7:36am and raced to the turn in 31 with five birdies.
When the 44 year old also picked up shots at the tenth and 11th to be seven under with seven to play, the course record of 62 and lowest round ever in a Major Championship - there have been 23 rounds of 63 - was in his sights.
However, Daly then saw four birdie putts catch the edge of the hole and stay out, while his only bogey of the day came on the 17th when his approach rolled over the green onto the path behind.
"I'm not too disappointed but I hit four putts coming in which I thought I had made. I left some out there," admitted Daly, who had missed the cut in eight of his 12 Open Championship appearances since lifting The Claret Jug 15 years ago.
"This is only the seventh or eighth tournament I've been healthy to play in the last three years and I'm starting to get some confidence back in my game."
Playing partner Coltart birdied the 18th to match Daly's 66, the Scot playing his first Open Championship since 2002 after coming through qualifying at Sunningdale, but the duo were soon two behind the leader on the course, Northern Ireland's Rory McIlroy.
A few eyebrows were raised when McIlroy was installed as pre-tournament second favourite behind Tiger Woods, given the fact he had missed the cut in both Majors in 2010, but the 21 year old played seven holes in seven under par from the ninth to reach eight under par.
American Sean O'Hair was six under after going to the turn in 30 as a flat calm, albeit damp, morning meant the course was there for the taking.
Tiger Woods, seeking an unprecedented third Open Championship win at St Andrews, was four under par after 12 holes, playing partner Justin Rose two under and Ernie Els, Ian Poulter and Darren Clarke one under.
At noon, 48 of the 84 players on the course were under par, although two-time champion Padraig Harrington was one of those over par after pitching into the Swilcan Burn on the first to run up a double-bogey six.
McIlroy made light of the supposedly fearsome 17th - a new tee adding 40 yards to make it a 495 yard par four - but after a stunning approach to five feet, missed the birdie chance.
At eight under par he was now one ahead of O'Hair, but Woods was now ominously lurking just two off the pace after a third birdie in succession on the 14th.