Volland took advantage of a mistake by Bayern's defence, with David Alaba failing to find Jerome Boateng, as he nipped in to find the net.
It is only the 10th time since the Bundesliga was launched in 1963 that the Bavarians had conceded a first-minute goal.
Hoffenheim have never beaten Bayern in the top flight, losing 10 matches and drawing four since being promoted in 2008.
Volland's quickfire strike matches the time of the goal scored by Bayer Leverkusen's Karim Bellarabi against Borussia Dortmund last season.
(Reporting by Karolos Grohmann, editing by Pritha Sarkar)
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