"It's my dream to play top-level golf," she said before shooting a 12-over-par 84 in the first round Thursday — a score that left her near the back of the field.
"I was pretty numb the first seven holes, I couldn't really feel much below my shoulders," Bagger said after the round.
"I didn't know where my swing was and it took a while to get rid of the nerves."
Bagger was born a male in Copenhagen, Denmark, in 1966 and began playing golf as an 8-year-old. Golf World magazine ran a photo of Bagger as a 14-year-old boy posing with Greg Norman at a golf clinic.
Bagger got down to a 4-handicap but stopped playing golf in 1992 to begin a transformation to a female with hormone therapy. Bagger had the sex-change operation three years later, then resumed playing in 1998.
The 37-year-old golfer said people are misinformed if they think she has a physical advantage over the other women in the field — which includes Karrie Webb, Laura Davies and Rachel Teske.
"People aren't aware of what's involved with transsexualism," said Bagger, who is 5-foot-10 and 150 pounds. "People aren't aware that there are certain physiological changes you go through with hormone replacement therapy. We lose an amount of muscle mass and overall strength as a result."
"After surgery, those effects are permanent and irreversible."
Another transsexual, Renee Richards, faced some opposition when she played on the women's tennis tour in the 1970s.
Bagger, though, is being welcomed. Teske and Davies were among players who supported her appearance at Concord Golf Club.
"She's a girl now, let her have a go," Davies said. "She's not gaining any advantage from what I understand. She doesn't hit the ball 350 yards. Why not give her a chance?"
This event might be the only chance Bagger gets.
The LPGA Tour, U.S. Golf Association and the Ladies European Tour have policies that players must be female at birth.
The reason for that restriction was Charlotte Wood, a transsexual who was 50 when she finished third in the 1987 U.S. Senior Women's Amateur, and reached the semifinals of the U.S. Women's Mid-Amateur.
The USGA put the "female at birth" clause in its entry forms in 1989, while the LPGA Tour added the restriction in 1991.
The International Olympic Committee last week put off a decision allowing transsexuals to compete in the Olympics, saying more time was needed to consider all the medical issues.
Women's Golf Australia, which runs the Women's Australian Open, removed its "female at birth" clause in 1998 and gave Bagger an exemption to the tournament.