The change was widely expected, with Roy having scored just 62 runs in seven outings at the top of the order.
England still believe the World Cup-winning batsman can be a success in the longer format but have bowed to the inevitable by taking him out of the new-ball firing line.
Instead, Kent batsman Denly will return to the spot where he made his Test debut over the winter and Roy will take up residence at number four.
"I got a call from (captain) Joe Root after a bit of time off and he said he'd like me to go at the top of the order and try to get us off to a good start," Denly told BBC Radio 5Live.
Roy will now have the chance to prove his prowess in the middle order, a role he has fulfilled for the majority of his first-class career with Surrey.
"Obviously Jason is going to bat four and that's great for English cricket," said Denly.
"With Jason Roy in the team we are a better team and with him coming in at four, hopefully with the new ball worn off and myself and Rory Burns doing our job at the top, it allows him to come in and play his way. He's a great player to have there."
Denly made six and 17 in his only previous outing as an opener, in Antigua this January, but showed his ability to focus and bat time by gritting out an important 50 in England's famous series-levelling win at Headingley.
His efforts, as well as those of Root (77), have largely been forgotten in the aftermath of Ben Stokes' brilliant match-winning century but he is happy to go under the radar.
"It's all a bit of a blur...it's all about the last hour," he said.
"Obviously it was a proud moment but as any top-order batter, you come off after getting out wanting more runs. Having made 50 it would have been nice to go on and get a bigger score, but thankfully we had 'King Stokes' coming in and finishing it for us.
"I don't think it's going to sink in for a while. It was a remarkable day and one that will be remembered forever, so to be part of it was very special."
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