In the highest-scoring game in WNBA history, Opals stand-out Taylor scored an equal team-high 23 points in the Mercury's 120-116 overtime victory at the US Airways Center in Phoenix.
Phoenix and Taylor are chasing their second WNBA championship in three seasons and host game two on Friday before the series shifts to Indiana.
Starting Fever point guard and Taylor's Opals teammate Tully Bevilaqua also had a solid night, scoring 14 points and dishing out four assists, but Indiana fell just short of stealing home court advantage in the series.
In a see-sawing encounter that featured 19 lead changes and 13 ties, Indiana's Katie Douglas hit a three-pointer with 7.1 seconds remaining in the fourth quarter to force overtime.
But Mercury guard Cappie Pondexter, who matched Taylor's 23-point haul, scored seven points in the extra period to guide Phoenix home.
Douglas led all scorers with 30 points, while teammate Ebony Hoffman stepped up big time with a career-high 27 points.
But they couldn't contain the deep Phoenix line-up, with six Mercury players finishing with double-figure scoring.
Diana Taurasi, who was named league MVP before the game, tallied 22 points and nine boards for the Mercury.
And Taylor kept them in it midway through the game when her teammates had gone cold, hitting 7-of-10 shots from the field overall, including 2-of-3 from three-point territory and 7-of-8 from the free-throw line.
The 2006 world championships MVP also added two boards, two assists and two steals in just over 27 minutes on court.
"I know with Cappie, (Taurasi) and Penny, there is no such thing as pressure," Mercury coach Corey Gaines said.
"They've played in big games their whole life."
The match-up was supposed to be a contrast between Phoenix's high-octane offence and Indiana's vaunted defence, but that didn't eventuate in game one.
"It wasn't the defensive-versus-offensive game people were expecting, clearly," Taylor said.
"Anyone who saw this game could tell you that.
"It was just amazing displays of talent, especially down the stretch."
Prior to this game the league's highest-scoring contest was Phoenix's 111-110 victory over Houston in triple overtime in a regular-season contest back in 2006.
The Mercury and Fever both scored more points than any team previously in league history, with the previous best Phoenix's 115 in an overtime win over Sacramento on June 13 this season.
PHOENIX 120 (Penny Taylor 23, Cappie Pondexter 23, Diana Taurasi 22) btINDIANA 116 (Katie Douglas 30, Ebony Hoffman 27, Tammy Sutton-Brown 19)in overtimeat US Airways Arena, Phoenix, Arizona, USAPhoenix leads best-of-five series 1-0Image courtesy wnba.com