Vonn finished in a time of 1 minute, 39.37 seconds. Shiffrin is 1.98 seconds behind.
The race switches Thursday afternoon local time to Shiffrin's specialty -- the slalom. Both times are combined to determine the winner.
Vonn had the lead after the downhill leg at the 2010 Vancouver Games but didn't finish the slalom.
Ragnhild Mowinckel of Norway had the second-fastest time in the downhill and is 0.74 seconds behind Vonn.