Vaughan's three-under-par 68 included eight birdies but also contained two sevens resulting in five dropped shots.
Romero provided a more consistent 68 at the Scottish links course, dropping just one shot as he and Vaughan moved one ahead of American trio Andy Bean, John Cook and Kirk Hanefeld and Briton Nick Job.
Greg Norman struggled to replicate the good form he showed while finishing tied third in last week's British Open at Royal Birkdale.
The Australian dropped five shots in his opening eight holes as he carded a four-over 75.
Holder and triple Senior British Open winner Tom Watson led a group of six players on 70 which included twice U.S. Masters champion Bernhard Langer.
American Craig Stadler recorded a hole-in-one at the 123-yard 'Postage Stamp' eighth hole en route to a 74.
