While BMC teammate Richie Porte struggled in stage one and is looking ahead to the Vuelta's third week, Dennis took out the 8km time trial in hot conditions in Malaga.

Dennis, the fourth-last rider to start, posted a time of nine minutes 39 seconds on the short, technical course in southern Spain.

Team Sky leader Michal Kwiatkowski had set the previous best time and the Polish star finished in second place, six seconds behind Dennis.

The South Australian's main objective is an elusive time-trial win at the world road championships late next month in Innsbruck, Austria.

"My Vuelta is primarily to prepare for the world championships and the team has other goals with other riders so if I have to help, I have to help," he said.

"I'm not here for the GC (general classification) so while, of course it would be nice to keep it (the lead), it's not the end of the world if I lose it."

Dennis also aims to hone his worlds' preparation in stage 16, a 32.7km time trial.

Significantly, Kwiatkowski put Dennis under pressure and the Australian rode superbly.

"It's taken years to work out (coping with pressure) but basically it's about believing in what you can do, the work you have already done and the support group around you," Dennis said.

He already was only the third Australian to wear the leader's jersey in all three Grand Tours - the Tour de France, the Giro d'Italia (Tour of Italy) and Vuelta (Tour of Spain).

Now he also has the rare distinction of individual stage wins in each of the three-week races.

Dennis previously had led the Vuelta when BMC won last year's opening team time trial.

While Dennis starred, Porte finished 51 seconds off the pace and was 97th of the 176 starters.

Porte normally would be among the leaders but he also is building his form for the world championships road race and was ill two days before the Vuelta.

The Tasmanian is racing the Vuelta as a change of late-season plans after he crashed out of the Tour de France.

"The Tour ... was bitterly disappointing and it's not been a straight-forward run in for me but I look forward to building on my form especially for the world championships," Porte said.

"I know I am going to take a bit of a kicking over the first two weeks but I think I should be better in the last week.

"I would love to be able to take a stage win in the final week. It looks really hard on paper and that's my big motivation."

Sunday's second stage is 163.5km from Marbella to Caminito del Rey and is the first of nine summit finishes in this year's Vuelta.

Australian Associated Press