Hitting the course for the first time since he filed for divorce on Monday from Erica Stoll, McIlroy showed no signs whatsoever of being off -- carding a 5-under 66 at Valhalla Golf Club in Louisville, Kentucky.

Following the end of his round, he was in a tie for third ... just four strokes behind the leader, Xander Schauffele.

McIlroy logged six total birdies through his first 18 holes at the major event ... and only had one bogey.

He also recorded several highlight-reel shots throughout Thursday, including one where he hit the pin on the fly from distance while in the rough.

McIlroy has not publicly addressed his marital issues since filing the docs in Florida ... he actually dodged a question about his personal life at a news conference Wednesday.

His manager, however, did say in a statement on Tuesday the golfer wants to make "this difficult time" "as respectful and amicable as possible."