Guay was 0.22 seconds ahead of overall leader Aksel Lund Svindal of Norway in second, and 0.72 seconds in front of Vancouver's Manuel Osborne-Paradis, who was third after the runs on the Saslong course.
Guay, from Mont-Tremblant, Que., thought he won last year until a drastic weather change helped later starters. American racer Steven Nyman took his second Saslong victory, and Rok Perko of Slovenia claimed second, relegating Guay to third.
Nyman was 10th in training and U.S. teammate Bode Miller was 16th.
A super-G is scheduled for Friday, followed by the downhill on Saturday. The circuit moves to nearby Alta Badia for a giant slalom on Sunday.