While plenty were caught up in the long rough at Bethpage Black, Koepka produced a blemish-free 63 after an early start on Thursday to set the clubhouse target.
Starting on the back nine, the American began with a birdie thanks to a long putt and went on to clinically set a new course record, despite failing to pick up a shot at either of the par-five holes.
Koepka’s seven-under total made him just the third player to shoot multiple scores of 63 or better at majors, a feat only previously achieved by Greg Norman and Vijay Singh.
It appeared set to give him a comfortable cushion going into Friday until Lee made the most of a hot putter to open with a 64, the best round of his career in a major.
The New Zealander needed just 21 putts and while dropped shots at the fifth and 15th hampered his progress, back-to-back birdies to finish made sure he was breathing down Koepka’s neck at the top of the leaderboard.
Englishman Tommy Fleetwood sits alone in third place on three under, one clear of a five-man group that includes American trio Chez Reavie, Luke List and Pat Perez. Also on two under are South Korean Sung Kang and Frenchman Mike Lorenzo-Vera.
Dustin Johnson and Jordan Spieth are on one under – the same score as Jason Day, Rickie Fowler and Phil Mickelson – but it was a tougher day for some of the other big names in the field.
Tiger Woods, playing alongside Koepka and Francesco Molinari, began with a double-bogey six and while two birdies and an eagle after the turn saw him move under par, the Masters champion dropped three shots over his closing five holes to sit on two over.
Rory McIlroy is on the same score as Woods, though only thanks to a three at the par-four 18th.
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