The Englishman hit a four-under-par 67 to take a one-shot advantage over German Marcel Siem and Dutchman Tim Sluiter.
Slatter shot a 66 at Walton Heath just three days ago to earn a US Open place and continued that form in Wales.
"It was very difficult. The wind was stronger than anticipated and if you get round without a bogey it's an amazing achievement," he said.
He almost went into the water at the third and out of bounds at the ninth, but his luck held.
Slattery, whose only previous Major was The Open in 2006, said the US Open in San Francisco would be hard work, but that he was ready for the challenge.
"I know Olympic Club is going to be difficult, but I'm really looking forward to it," he said.
"It's more the atmosphere. I remember The Open at Hoylake and I thrived on it."
Sweden’s Joel Sjoholm and Ireland’s Simon Thornton joined Spaniards Pablo Larrazabal and Gonzalo Fernandez-Castano on two under.
Siem said: “It was gusty, windy and there were firm greens, so three under was good.
“It’s really nice to play out here. I love the course and I've had a lot of very good rounds here already. The greens are firm, which suits my high ball flight.
“You have to think a bit more around the course now because it's a lot firmer and the traps are in play all of a sudden.”
More than a dozen players scored in the 80s, while Scot Paul Lawrie - second in the Ryder Cup points table - needed two late birdies to record a 74, the same score as 2010 European Ryder captain Colin Montgomerie.
Defending champion Alex Noren could only manage 81 before pulling out with a back problem.