The Northern Irishman recently moved back to the top of the Official World Golf Ranking thanks to some incredibly consistent play that included a win at the WGC-HSBC Champions in November.
That meant he had won three of the four WGC titles and the 30-year-old stated coming into the week at Chapultepec Golf Club that he would love to complete the set and join Dustin Johnson as the only player to have won all of the Wedgewood trophies.
An eagle on just his second hole of the day set the tone and McIlroy added five birdies with just a single bogey to get to six under and lead the way after day one in Mexico City.
McIlroy was getting his 2020 Race to Dubai campaign under way at a course where he finished second last season, one of 21 top tens - including four wins - in 27 events worldwide since the start of 2019.
"I'm confident because I played well," he said. "Regardless of whether I have a one or a two or a ten beside my name in the World Rankings, I'm comfortable with my golf game and I'm comfortable with what I'm doing, and that's the most important thing.
"I took advantage of how I drove the ball. I drove the ball well, took advantage of the par fives and I made one bogey. I misjudged the lie on the fourth hole there but, apart from that, just really solid on the golf course.
"All aspects of my game were working pretty well today.
"I think the big thing was I putted well. I went back to my old putter, was trying a new one last week. It didn't quite work out the way I wanted it to but I was comfortable on the greens today and holed some nice ones coming in."
After starting on the tenth, McIlroy put his second on the 11th to 18 feet and rolled home his eagle putt.
The four time Major Champion had another look at eagle on the par five 15th and two putts from 38 feet handed him the solo lead.
He was soon part of a four way tie but broke out of it as he holed a 12 footer from the fringe on the second, before a bogey after coming up short with his second at the fourth briefly handed Conners the lead.
A four putt on the 15th from the 28-year-old made it a six way tie but McIlroy holed a 27 footer on the sixth to get to four under, where Watson posted the clubhouse target.
The two time Masters Tournament winner highlighted his 67 with a chip-in at the ninth as he also added gains on the fourth, sixth, 14th and last, with a single bogey on the seventh.
An approach to 15 feet on the eighth edged McIlroy ahead and when he put his second to the ninth to ten feet, he led by two.
Thomas birdied the first and while he gave the shot back on the third, he made gains on the fourth, sixth, 15th and 16th.
Conners added four birdies to that mistake on the 15th, while Oosthuizen made six birdies but also surrendered three bogeys.
Horschel also had six birdies and three bogeys, with DeChambeau adding two blemishes to his five gains.