Szabo stunned Taylor by taking the opening set and missed two darts for a 2-0 advantage in the second set before the 16-time world champion stormed back, and the Stoke-on-Trent thrower was quick to praise the New Zealand player.
The 53-year-old told PDC.TV: "It was a really tough game. I'm pleased to get through that because it was a strange game.
"Any top player would have struggled tonight because you didn't know what Rob was going to do. He was unpredictable, but he's a very good player and he deserved to win that first set.
"I've got a week now until the second round and I'll be ready for that. I can go away now, and get my head down and prepare for next week."