Macron pulled his support from retirees, working people and independents, garnering about 25 percent of each group's votes, according to the Ipsos polling firm.
Harris gave both Fillon and far-left contender Jean-Luc Melenchon 20 percent, which will mean their elimination from the race.
She has worked hard to soften her party's image and garnered support from many voters by portraying herself as an anti-establishment candidate who would defend French interests and jobs against the demands of the European Union and globalisation.
Le Pen, 48, who has drawn criticism for her anti-immigrant stance, has said she wants to exit the European Union and impose protectionist trade policies for the country.
In southern Paris, a young cafe waitress said she would be voting in the evening.
I want to be the president of all the French people - of patriots in the face of the nationalists' threat. Her speech ended with the French national anthem.
Late Thursday, one police officer died and three other people were injured after a gunman - a 39-year-old French national who supported the Islamic State group - leaped out of a auto and opened fire on a police bus on the Champs-Elysees, one of Paris' most iconic landmarks.
Macron, who has never held elected office, acknowledged widespread anger at traditional parties and promised "new transformations" in French politics. "It will be made up of new faces and new talent in which every man and woman can have a place", he said.
He added that as a result one should expect a narrowing in French/German spreads and it is "reasonable" to expect EUR/USD at 1.09/1.10. Macron vowed to be a "voice for hope for our country and Europe".
Almost 60,000 police and soldiers were deployed across the country to secure polling, with France still reeling from the shooting of a policeman on the Champs Elysees.
The reality is that each also represents a dramatically different vision of France and its relations with America. While Sunday's results looked broadly in line with polls, failures to predict the outcome of the Brexit referendum and USA elections had shaken investors' trust in them. The United Kingdom is already in the process of pulling out of the 28-national trading bloc.
He also cited the history of "violence and intolerance" of Ms Le Pen's far-right National Front party.
The French vote was being closely watched as a bellwether for populist sentiment following the election of Donald Trump as U.S. president and Britain's vote to leave the EU.
Mathilde Jullien, 23, said she is convinced Macron will beat Le Pen.
"The obstacles were too cruel". French senator and key Fillon supporter Roger Karoutchi told reporters: "The first indications are not good".
They will be able to take part in the second round on May 6, a day ahead of the official vote in France which will determine the country's next president. In response gold is under selling pressure and oil and copper are receiving support.
Chancellor Angela Merkel's spokesman wished Macron "all the best for the next two weeks".
The runoff election will take place May 7, and the country will hold parliamentary elections about a month after that.