In an incident-packed round at Wentworth, McIlroy also had to hit a putt left-handed, saw his tee shot on the 17th bounce out of the trees and then hit his approach to the 18th out of bounds.
That cost the 2014 champion his second bogey of the day and, at five under par, left him two shots behind Baldwin, who avoided any drama whatsoever as he carded seven birdies in a bogey-free 65.
"I don't think it's ever happened to me before," McIlroy said of the bizarre incident on the par-five 12th, when his approach finished six feet from the hole - he would miss the eagle putt - despite the clubhead flying off at impact and hurtling down the fairway.
"I hit nine iron on the ninth hole and it looked as if the ferrule was coming loose, but it was actually the head detaching from the shaft.
"I obviously didn't realise that when I hit the shot on 12. It was a bit of a weird feeling. I hit the ball and obviously you're expecting the weight of the club to just pull through and there was nothing there.
"Thankfully the ball went where I wanted it to. It could have been a lot worse but thankfully got it repaired and got it back on the 16th."
Asked if he had experienced anything similar before, McIlroy said with a smile: "I've certainly broken a few [clubs] after shots, but I don't remember when a head's flown off on me like that, because the shaft was intact. Just glued the shaft back in and we were ready to go again.
"It was a bit of rollercoaster round but most of the incidents worked out in my favour so I'm happy about that. I would have taken five under at the start of the day, especially as the wind is getting up here.
"Overall it was a good round of golf, it could have been a little bit better but a solid start."
On a day of low scoring, Baldwin held a one-shot lead over British Masters winner Niklas Norgaard and Belgium's Thomas Detry, while McIlroy's 67 was matched by a group including Ryder Cup team-mates Shane Lowry and Robert MacIntyre, with 2019 winner Danny Willett returning a 68.
Australia's Jason Scrivener also went round in 68 to be three shots off the lead. Compatriot Adam Scott carded a 71.
