KANSAS CITY, Mo. -- Lorenzo Cain performed magic with his glove and produced with his bat and right-hander Edinson Volquez pitched a gem in his Kansas City debut as the Royals defeated the Chicago White Sox 4-1 on Thursday.

Cain, who hit a game-winning homer in the eighth inning on Wednesday, made two breathtaking catches in center, drove in a run, doubled and scored a run as the Royals won the first three games of the season for the first time since 2008.

Volquez, who had a 6.33 ERA in five spring training outings, held the White Sox to one run and four hits, striking out five and walking one in eight innings. Greg Holland worked a spotless ninth for his second save within 18 hours.

The Royals did something they had never done -- beat White Sox left-hander John Danks. In Danks' first 16 starts against the Royals, he was 7-0 with a 2.43 ERA.

Danks was removed after catcher Salvador Perez belted a two-run homer in a three-run sixth inning. Cain started the inning with a double and scored on designated hitter Kendrys Morales' double.

Shortstop Alexei Ramirez's two-out RBI single in the seventh produced the only White Sox run.

The White Sox are 0-3 for the first time since 2004. They have lost 14 of 17 to the Royals while being outscored 90-44.

The Royals manufactured a run in the first inning. Shortstop Alcides Escobar led off with a double to right field to extend his hitting streak to 12 games.

Third baseman Mike Moustakas moved Escobar to third with a sacrifice bunt and Escobar scored on Cain's groundout to shortstop Alexei Ramirez.

Cain made a spectacular catch to rob designated hitter Adam LaRoche of extra bases in the second. Cain ran down LaRoche's scorcher at the right-center warning track before crashing into the wall.

In the third, Cain made another five-star catch, drifting back and colliding with the center-field wall to track down Micah Johnson's fly ball.

Right-hander Edinson Volquez, making his Royals debut after signing a two-year contract in December, faced only one batter above the minimum in the first five innings. He retired nine straight before first baseman Jose Abreu's two-out double in the fourth.

Volquez, who was aided by superb defense, required only 46 pitches in the first five innings.

The Royals wasted opportunities to pad their lead in the third and fourth. After left fielder Paulo Orlando walked and second baseman Omar Infante singled for his first hit of the season, they had runners at second and third with one out in the third but failed to score.

Orlando tripled to open the fifth for his first big-league hit but was stranded. The inning ended when center fielder Adam Eaton laid out to grab Moustakas' liner.

NOTES: Royals LF Paulo Orlando made his big-league debut. He becomes the third Brazilian-born player to play in the majors. ... RHP Hector Noesi will start the White Sox home opener Friday against the Twins. ... LHP Jason Vargas will start the Royals' first away game, on Friday at Anaheim. Vargas is 9-3 with a 2.86 ERA at Angel Stadium. ... The White Sox play their first 18 games and 25 of their first 28 against AL Central clubs. ... The Royals have 10 foreign players on their roster.