Reigning French Open champion Schiavone got Italy off on the right foot with a dominating 6-2, 6-4 victory over young American Coco Vandeweghe in the opener while world No. 23 Pennetta defeated Bethanie Mattek-Sands 7-6 (7/4), 6-2 in two hours.
Italy can clinch their second title in as many years in the best-of-five format with a win in the opening match Sunday.
"We are very happy for today, very satisfied," Pennetta said. "But now we have to stay focused for tomorrow. We really want to try to bring back the Cup. But it is not finished."
World number seven Schiavone needed one hour, 23 minutes to close out the match over the 18-year-old Vandeweghe at the San Diego Sports Arena.
"It was a good match for me. I started really well, particularly the first set," she said. "Then I went a little bit down 4-3. But the way that I was playing was good. I was aggressive, good defense, a good serve."
Vandeweghe, who is ranked 114th in the world, is making her Fed Cup debut in her hometown. She got on the US team after the Williams sisters, Venus and Serena, pulled out with injuries.
"I have never played against Francesca," Vandeweghe said. "She is not ranked in the top 10 in the world for nothing. She has a great array of shots. I am a little disappointed to have lost."
Vandeweghe tied the second set at 4-4 by breaking Schiavone's serve. But the rally was shortlived as the Italian struck back quickly.
Schiavone broke Vandeweghe's serve, then won the match when Vandeweghe punched a backhand service return into the net.
"She's young, and I think she play a good match for the first time in Fed Cup," Schiavone said.
In a surprise move, US captain Mary Joe Fernandez chose Vandeweghe for the opening match over the more experienced Melanie Oudin.
With the Williams sisters skipping the event, the US was forced to send an inexperienced four-woman team to the World Group final which runs on the indoor hardcourts. The Williams sisters also missed last year's event.
The Americans, who have won more Fed Cup titles than anyone else with 17, lead the series with Italy 9-1 overall but lost the last meeting in the 2009 final.
The US now has the almost impossible task of trying to come back Sunday.
When reminded during the news conference that no team has ever come back from being down 2-0 in a final, Fernadez asked reporters, "Do you guys have any advice?"