As the top-ranked Scheffler crept backwards but remained firm favourite with a one-over-par 71 in more punishing conditions, Smalley carded a 69 and McNealy a 67 to jump to four under for the tournament as the Philadelphia chill and Aronimink Golf Club continued to bite the game's best players.
Australian No.1 Min Woo rallied with three back-nine birdies to carve out an even-par 70 to sit just one shot off the pace entering the weekend.
Chris Gotterup had enough Jersey toughness to handle the cold wind and treacherous greens, closing with three-straight birdies for a five-under 65.
The low round of the tournament thrust Gotterup to three under alongside Lee in a six-way tie for third.
South African Aldrich Potgieter, one of seven first-round co-leaders with Scheffler, bogeyed his last two holes in a round of 70 to be three under.
At just 21, Potgieter was looking to become the youngest golfer with a 36-hole lead at a major since Tiger Woods' historic win at the 1997 Masters, before his late stumble.
Former Masters winner Hideki Matsuyama is also in the chasing pack just one back after shooting 67 in his quest for a second major.
Rounding out those at three under are American Max Greyserman (69) and German Stephan Jaeger, who parred all 18 holes in his round of 70.
Aronimink is plenty difficult without dealing with blustery conditions that made it feel colder than the low 50s (10s Celsius) for so much of the morning.
"Today would definitely be one of those days where I would be on the couch and I would be like, 'How did he hit it there?' and 'How did he do this?' And then you're out there, and it just feels like it's impossible," Gotterup said.
Only 22 of the 156 starters are under par after five holes yielded more three putts than birdies.
Jason Day, the last international to win the PGA Championship back in 2015, is among those in red figures at one under after also posting a level-par 70.
Fellow Australian Cameron Smith (71) drained a 60-foot birdie putt at the last to pull back to even for the championship and snap a streak of six straight cuts at the majors.
McNealy backed up with two dropped shots over the last three holes to invite the chasing pack, including Smith, back into the championship.
Defending champion Scheffler, who had a share of the 18-hole lead for the first time in a major, did not find a fairway until his ninth hole.
One day after hitting 13 of 14 fairways, he didn't find the short grass until the 18th. He started on No.10 and already had three bogeys - all from the rough - through four holes.
He might have saved his round on the par-3 14th when he hit a beautiful lag putt from 80 feet for a two-putt par. That settled him, and he closed with an up-and-down birdie on the par-5 ninth to finish at two under and still well in the mix in a tie for ninth.
With AP
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