Mickelson bounced back immediately with a two-putt birdie on the par five second, although he did not gain any ground on Stenson, who also birdied after pitching to four feet.
Both players then missed the fairway on the third but after Stenson hit the green with his approach, Mickelson's rolled off the left edge, from where his chip up a slope was not hit hard enough and came rolling back to his feet.
That led to a bogey but the 43 year old again responded superbly, holing from 25 feet for birdie on the fourth as Stenson missed from two feet to bogey and see his lead back to two shots over South African Branden Grace and England's John Parry.
Mickelson also birdied the fifth and sixth from close range and was yet to record a par, but even his recovery was being overshadowed by some remarkable golf from Denmark's JB Hansen.
Hansen had taken a quadruple-bogey nine on the par five second after hitting two shots into bushes, but hit back with five straight birdies to get under par for his round and 15 under for the tournament.
That was briefly one behind until Stenson holed from 18 feet for birdie on the sixth, but Hansen was still in a share of second with Mickelson and Northern Ireland's Gareth Maybin.