A fine contest that went to a last-leg decider in each set saw Cross prevail 3-1 with an average of 99 and having recorded seven 180s.
The 32-year-old Englishman, winner of this competition five years ago and a runner-up at last month's Players Championship Finals, said in quotes on pdc.tv: "This place will always be special to me. This is the holy grail.
"I think I dealt with the big moments a little bit more, but I probably put that down to experience. I feel good. I feel like I'm getting better and I'm enjoying it again."
Cross will play Mervyn King in round three.
Friday's action - which had England and Leicester midfielder James Maddison in attendance - also included Wales' Jonny Clayton advancing with a comfortable 3-0 victory over Dutchman Danny van Trijp.
Clayton will next face Brendan Dolan, who defeated Jimmy Hendriks 3-1.
Van Trijp's compatriot Danny Noppert was a 3-1 victor over David Cameron, and there were also 3-1 wins for Joe Cullen against Ricky Evans and Ross Smith against Darius Labanauskas.
Chris Dobey won 3-0 against Martijn Kleermaker to set up a clash with two-time champion Gary Anderson, and Martin Schindler will face last year's runner-up Michael Smith after beating Martin Lukeman 3-1.