Thompson scored 34 points and dished out five assists for the defending champions, playing without Curry because of an injured right ankle. Curry cut short his pregame warmup routine after appearing to be in discomfort as he was shooting while putting little pressure on the tender ankle.
Andre Iguodala, last year's Finals MVP, added 18 points with four 3-pointers and Draymond Green had 12 points, 14 rebounds and eight assists.
Now, Curry has until Thursday's Game 3 in Houston to get healthy.
James Harden had 28 points and 11 assists to lead the Rockets, losers of six straight and 14 of 15 to Golden State. He made 13 of 15 free throws after not attempting one in the opener.