The Canadian racer extended his streak of winning a training run at each downhill venue this season, timing 2 minutes, 36.14 seconds on the 4.42-kilometre (2.75-mile) Lauberhorn.
"I feel like my training runs have been very consistent since the start. Now I'm slowly translating those fast speeds into race days," said Guay, who won last month in Val Gardena, Italy.
Matthias Mayer of Austria was second, 0.11 behind, and Kjetil Jansrud of Norway was third, 0.31 behind.
"It's not often I've been fast in Wengen and I'll take this," Jansrud said.
Guay, the 2011 world downhill champion from Mont-Tremblant, Que., is among several contenders who have found success elusive at the storied Swiss venue.
Neither he nor Aksel Lund Svindal of Norway, who leads the World Cup downhill standings ahead of Guay, has ever finished on the podium in Wengen.
Svindal, the 2010 Olympic silver medallist in downhill, was ninth Thursday, trailing by 1.18 seconds. Bode Miller of the United States, a two-time Lauberhorn winner, was 10th, 1.67 behind, and Carlo Janka, the 2010 winner from Switzerland, was 13th despite a bib number of 39.
Manuel Osborne-Paradis of North Vancouver, B.C., was tied for 21st, Robbie Dixon of Whistler, B.C., was 39th and Jeffrey Frisch of Mont-Tremblant was 54th. Ben Thomsen of Invermere, B.C., was 58th, Conrad Pridy was 64th and Morgan Pridy, also from Whistler, was 84th.
Most racers will get another look at the course on Friday afternoon in the downhill portion of a super-combined event. The slalom leg is scheduled first in the morning when snow is forecast.