WASHINGTON — Leaving one political office with his eyes on another, Governor Romney of Massachusetts took the first formal step yesterday into the race for the Republican presidential nomination on his last full day as governor.

Although he did not declare candidacy, Mr. Romney filed papers with the Federal Election Committee setting up a presidential exploratory committee, a step that allows him to raise and spend money in the initial pursuit of the party’s 2008 nomination.

The one-term governor is positioning himself as a conservative alternative to Senator McCain, a Republican of Arizona, and Mayor Giuliani. Messrs. McCain and Giuliani formed exploratory committees late last year.

Mr. Romney has established support teams in some of the key small states that have played an important role in selecting presidential nominees, going head to head with Mr. McCain in the early effort to line up effective organizations in Iowa, New Hampshire and South Carolina.

“He has been extremely aggressive,” a longtime political consultant who is now associate dean at Boston University’s school of communications, Tobe Berkovitz, said. “He’s gotten himself in position to break into the top tier.”

Mr. Romney, who ran unsuccessfully for the Senate against Senator Kennedy in 1994, is already facing accusations that he has shifted positions on several social issues, such as gay rights. He opposes same-sex marriage after having sought to position himself in the 1994 campaign as a stronger supporter of “full equality for America’s gay and lesbian citizens” than Mr. Kennedy.

The Democratic National Committee yesterday challenged Mr. Romney over his past statements on abortion. In 1994, the party asserted, Mr. Romney said: “I believe that abortion should be safe and legal.” Last February, Mr. Romney said, according to the Democrats: “I’ve never used either title, prolife or pro-choice, in the past.”

Last October, he said: “I call myself firmly pro-life.”