The 33-year-old topped the timing charts as he clocked 1:56.08 down Bormio's iconic slope although the gold-medal favourites were clearly playing it safe in flat light.
Cochran-Siegle, a silver medallist in super-G in Beijing four years ago, said it was a day for "finding the flow" down the slope on the first of three training runs before the race proper on Saturday.
Swiss favourite Marco Odermatt, winner of three of the six World Cup downhills this season, was third-fastest, 0.40 seconds back, with Italy's Giovanni Franzoni second, 0.16 back.
Many of the skiers were clearly not at full throttle as they crossed the finish line as they got their first look at the fast and bumpy 3.4km descent.
The first Alpine ski action of the Games took place the day after American great Vonn announced that she was planning to race in the women's downhill in Cortina with a ruptured ACL sustained in a crash in Crans-Montana.
"Definitely taking inspiration from her," Cochran-Siegle told reporters. "I mean, incredible athlete, incredible person and I think just her fortitude and her drive, just shows so much passion for the sport and belief in herself.
"Never ever count her out."
The dangers of the high-speed sport were brought sharply into focus on Wednesday as Norway's Fredrik Moeller crashed and was taken off the course by helicopter. His team said he had been taken to hospital with shoulder pain.