<PAGE>   1
     As filed with the Securities and Exchange Commission on March 19, 2001

                                                    Registration No. 333-_______


                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                                    --------

                                    FORM S-8

             REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933

                                    --------

                            FIRST HEALTH GROUP CORP.

             (Exact name of Registrant as specified in its charter)

                                    --------

            DELAWARE                                            36-3307583

(State or other jurisdiction of                              (I.R.S. Employer
 incorporation or organization)                             Identification No.)

                              3200 HIGHLAND AVENUE
                          DOWNERS GROVE, ILLINOIS 60515
                                 (630) 737-7900

  (Address, including zip code, and telephone number, including area code, of
                        Registrant's executive offices)

                                    --------

    FIRST HEALTH GROUP CORP. 2000 STOCK OPTION AGREEMENTS WITH JAMES C. SMITH

                            (Full title of the plan)


                            WILLIAM M. HOLZMAN, ESQ.
                            NEAL, GERBER & EISENBERG
                            TWO NORTH LASALLE STREET
                             CHICAGO, ILLINOIS 60602
                                 (312) 269-8000

 (Name, address, including zip code, and telephone number, including area code,
                             of agent for service)

                                    --------


                         CALCULATION OF REGISTRATION FEE

<TABLE>
<CAPTION>
    ----------------------------------------------------------------------------------------------------------------------
       TITLE OF SECURITIES                               PROPOSED MAXIMUM                 AMOUNT OF
        TO BE REGISTERED                                AGGREGATE OFFERING              REGISTRATION
                                                              PRICE                          FEE
    ----------------------------------------------------------------------------------------------------------------------
<S>                                                     <C>                             <C>
          Common Stock,                                 $11,437,400.00(1)               $2,860.00
         $0.01 par value
    ----------------------------------------------------------------------------------------------------------------------
</TABLE>

(1)  Calculated as pursuant to Rule 457(h)(1) under the Securities Act of 1933,
     as amended.


<PAGE>   2

                                     PART II

               INFORMATION REQUIRED IN THE REGISTRATION STATEMENT

ITEM 3         INCORPORATION OF DOCUMENTS BY REFERENCE

          The following documents are incorporated into this Registration
Statement by reference:

          1.   The Company's Annual Report on Form 10-K for the fiscal year
               ended December 31, 1999.

          2.   The Company's Quarterly Reports on Form 10-Q for the quarters
               ended March 31, 2000, June 30, 2000 and September 30, 2000.

          3.   The description of the Company's Common Stock set forth under the
               caption "Description of Registrant's Securities to be Registered"
               in the Company's Registration Statement on Form 8-A (No. 0-15846)
               filed under the Securities Exchange Act of 1934, as amended (the
               "Exchange Act"), and any reports or amendments to the foregoing
               filed with the Securities and Exchange Commission for the purpose
               of updating such description.

          4.   All documents filed by the Company pursuant to Sections 13, 14,
               or 15(d) of the Exchange Act subsequent to the date of this
               Registration Statement and before the Company files a
               post-effective amendment hereto which indicates that all shares
               of Common Stock being offered pursuant to this Registration
               Statement have been sold or which deregisters all shares of
               Common Stock then remaining unsold.

ITEM 4.        DESCRIPTION OF SECURITIES

          Not Applicable.

ITEM 5.        INTERESTS OF NAMED EXPERTS AND COUNSEL

          Certain partners and attorneys associated with Neal, Gerber &
Eisenberg own shares of Common Stock.

ITEM 6.        INDEMNIFICATION OF DIRECTORS AND OFFICERS

          Section 145 of the Delaware General Corporation Law empowers the
Company to indemnify officers and directors in certain instances. Article
Seventh, Section 2 of the Restated Certificate of Incorporation of the Company
provides as follows: "The directors, as well as the officers, employees and
agents of the Company shall be indemnified by the Company to the fullest extent
permitted by the Delaware General Corporation Law as the same exists or may
hereafter be amended." As a consequence, directors of the Company will be
insulated for liability for monetary damages for breach of fiduciary duty as a
director, including monetary liabilities for negligent or grossly negligent
business decisions, except for liability (i) for any breach of the director's
duty of loyalty to the Company or its stockholders, (ii) for acts or omissions
not in good faith or which involve intentional misconduct or a knowing violation
of law, (iii) for the payment of unlawful dividends or unlawful stock
repurchases or redemptions, or (iv) for transactions in which the director
received an improper personal benefit. The exculpation provided with respect to
liability by the foregoing is effective for actions taken after April 16, 1987.

          The By-Laws of the Company contain provisions whereby the Company will
indemnify its directors, officers, employees and agents against liabilities
incurred in connection with, and related expenses resulting from, any claim,
action or suit brought against such persons as a result of their relationship
with the Company, provided that it is determined that such persons acted in
accordance with a stated standard of conduct in connection with the acts or
events upon which such claim, action or suit is based. Such discrimination will
be made either by quorum of disinterested directors, if available, or by
independent legal counsel in a written opinion, or by the vote of the Company's
stockholders. The finding of either criminal or civil liability on the part of
such persons in connection

<PAGE>   3

with such acts or events is not necessarily determinative of the question of
whether such persons have met the required standard of conduct and are,
accordingly, entitled to be indemnified.

          The Company has purchased for the benefit of its officers and
directors an insurance policy, whereby the insurance company agrees, among other
things, to make payment to the Company in the event any such officer or director
becomes legally obligated to make a payment in connection with an alleged
wrongful act. Wrongful acts means any breach of duty, neglect, error,
misstatement, misleading statement, omission or other act done or wrongfully
attempted by an officer or director of the Company.

ITEM 7.        EXEMPTION FROM REGISTRATION CLAIMED

          Not Applicable.

ITEM 8.        EXHIBITS

<TABLE>
<CAPTION>
Exhibit
Number                   Description of Document                                        Page No.
------                   -----------------------                                        --------
<S>                      <C>                                                            <C>
4.1                      First Health Group Corp. Stock Option Agreement, dated
                         as of May 18, 1999, by and between the Company and
                         James C. Smith .............................................     ____

4.2                      First Health Group Corp. Stock Option Agreement, dated
                         as of May 18, 1999, by and between the Company and
                         James C. Smith .............................................     ____

5                        Opinion of Neal, Gerber & Eisenberg ........................     ____

23.1                     Consent of Deloitte & Touche LLP ...........................     ____

23.2                     Consent of Neal, Gerber & Eisenberg (included in
                         Exhibit 5 to this Registration Statement) ..................     ____

24                       Powers of Attorney .........................................     ____
</TABLE>

ITEM 9.        UNDERTAKINGS

          The undersigned hereby undertakes:

          1.   To file, during any period in which offers or sales are being
               made, a post-effective amendment to this Registration Statement
               to include any material information with respect to the plan of
               distribution not previously disclosed in the Registration
               Statement or any material change to such information in the
               Registration Statement.

          2.   That, for the purpose of determining any liability under the
               Securities Act of 1933, as amended (the "Act"), each
               post-effective amendment to this Registration Statement shall be
               deemed to be a new Registration Statement relating to the
               securities offered therein, and the offering of such securities
               at that time shall be deemed to be the initial bona fide offering
               thereof.

          3.   To remove from the registration by means of a post-effective
               amendment any of the securities being registered which remain
               unsold at the termination of the offering.

          4.   That, for purposes of determining any liability under the Act,
               each filing of the Company's annual report pursuant to Sections
               13(a) or 15(d) of the Exchange Act that is incorporated by
               reference in this Registration Statement shall be deemed to be a
               new registration statement relating to the


                                      II-2
<PAGE>   4

               securities offered therein, and the offering of such securities
               at that time shall be deemed to be the initial bona fide offering
               thereof.

          Insofar as indemnification for liabilities arising under the Act may
be permitted to directors, officers or persons controlling the Company pursuant
to the Delaware General Corporation Law, the Restated Certificate of
Incorporation of the Company, the By-Laws of the Company or otherwise, the
Company has been advised that in the opinion of the Securities and Exchange
Commission such indemnification is against public policy as expressed in the Act
and is therefor unenforceable. In the event that a claim for indemnification
against such liabilities (other than the payment by the Company of expenses
incurred or paid by a director, officer or controlling person of the Company in
the successful defense of any action suit or proceeding) is asserted by such
director, officer or controlling person in connection with the securities being
registered, the Company will, unless in the opinion of its counsel the matter
has been settled by controlling precedent, submit to a court of appropriate
jurisdiction the question whether such indemnification by it is against public
policy as expressed in the Act and will be governed by the final adjudication of
such issue.



                                      II-3
<PAGE>   5

                                   SIGNATURES

          Pursuant to the requirements of the Securities Act of 1933, as
amended, the Registrant certifies that it has reasonable grounds to believe that
it meets all of the requirements for filing on Form S-8 and has duly caused this
Registration Statement to be signed on its behalf by the undersigned, thereunto
duly authorized in the City of Downers Grove, State of Illinois on the 15th day
of March, 2001.

                                         FIRST HEALTH GROUP CORP., a Delaware
                                         corporation


                                         By: /s/ James C. Smith
                                         ------------------------------------
                                                   James C. Smith,
                                              Chairman of The Board, Chief
                                             Executive Officer and Director





                                      II-4
<PAGE>   6
          Pursuant to the requirements of the Securities Act of 1933, as
amended, this Registration Statement has been signed by the following persons in
the capacities indicated on the 15th day of March, 2001.

<TABLE>
<CAPTION>
           Signature                                         Title
           ---------                                         -----
<S>                                     <C>

/s/ James C. Smith                      Chairman of the Board, Chief Executive Officer and
--------------------------------        Director (Principal Executive Officer)
    James C. Smith

/s/ Joseph E. Whitters                 Vice President, Finance, Chief Financial Officer and
--------------------------------       Treasurer (Principal Accounting and Principal Financial
    Joseph E. Whitters                 Officer)

/s/ Daniel S. Brunner*                 Director
--------------------------------
    Daniel S. Brunner

/s/ Michael J. Boskin*                 Director
--------------------------------
    Michael J. Boskin, Ph.D

/s/ Robert S. Colman*                   Director
--------------------------------
    Robert S. Colman

/s/ Ronald H. Galowich*                 Director
--------------------------------
    Ronald H. Galowich

/s/ Harold S. Handelsman*               Director
--------------------------------
    Harold S. Handelsman

/s/ Don Logan*
--------------------------------        Director
    Don Logan

/s/ Thomas J. Pritzker*                 Director
--------------------------------
    Thomas J. Pritzker

/s/ David E. Simon*                     Director
--------------------------------
    David E. Simon


* By: /s/ Joseph E. Whitters
      ----------------------
          Joseph E. Whitters
          Attorney-in-fact
</TABLE>




                                      II-5
[{"type": "S-8", "sequence": "1", "filename": "c60770s-8.txt", "description": "SECURITIES TO BE OFFERED TO EMPLOYEES", "secsgml_size_bytes": 14804}]
{"company-data": {"conformed-name": "FIRST HEALTH GROUP CORP", "cik": "0000812910", "assigned-sic": "6411", "irs-number": "363307583", "state-of-incorporation": "DE", "fiscal-year-end": "1231"}, "filing-values": {"form-type": "S-8", "act": "33", "file-number": "333-57228", "film-number": "1571830"}, "business-address": {"street1": "3200 HIGHLAND AVE", "street2": "HEALTH COMPARE CORP", "city": "DOWNERS GROVE", "state": "IL", "zip": "60515", "phone": "6302417900"}, "mail-address": {"street1": "3200 HIGHLAND AVENUE", "street2": "3200 HIGHLAND AVENUE", "city": "DOWNERS GROVE", "state": "IL", "zip": "60515"}, "former-company": {"former-conformed-name": "HEALTHCARE COMPARE CORP/DE/", "date-changed": "19920703"}}
1
     As filed with the Securities and Exchange Commission on March 19, 2001

                                                    Registration No. 333-_______

                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                                    --------

                                    FORM S-8

             REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933

                                    --------

                            FIRST HEALTH GROUP CORP.

             (Exact name of Registrant as specified in its charter)

                                    --------

            DELAWARE                                            36-3307583

(State or other jurisdiction of                              (I.R.S. Employer
 incorporation or organization)                             Identification No.)

                              3200 HIGHLAND AVENUE
                          DOWNERS GROVE, ILLINOIS 60515
                                 (630) 737-7900

  (Address, including zip code, and telephone number, including area code, of
                        Registrant's executive offices)

                                    --------

    FIRST HEALTH GROUP CORP. 2000 STOCK OPTION AGREEMENTS WITH JAMES C. SMITH

                            (Full title of the plan)

                            WILLIAM M. HOLZMAN, ESQ.
                            NEAL, GERBER & EISENBERG
                            TWO NORTH LASALLE STREET
                             CHICAGO, ILLINOIS 60602
                                 (312) 269-8000

 (Name, address, including zip code, and telephone number, including area code,
                             of agent for service)

                                    --------

                         CALCULATION OF REGISTRATION FEE
----------------------------------------------------------------------------------------------------------------------
       TITLE OF SECURITIES                               PROPOSED MAXIMUM                 AMOUNT OF
        TO BE REGISTERED                                AGGREGATE OFFERING              REGISTRATION
                                                              PRICE                          FEE
    ----------------------------------------------------------------------------------------------------------------------
Common Stock,                                 $11,437,400.00(1)               $2,860.00
         $0.01 par value
    ----------------------------------------------------------------------------------------------------------------------
(1)  Calculated as pursuant to Rule 457(h)(1) under the Securities Act of 1933,
     as amended.
2

                                     PART II

               INFORMATION REQUIRED IN THE REGISTRATION STATEMENT

ITEM 3         INCORPORATION OF DOCUMENTS BY REFERENCE

          The following documents are incorporated into this Registration
Statement by reference:

          1.   The Company's Annual Report on Form 10-K for the fiscal year
               ended December 31, 1999.

          2.   The Company's Quarterly Reports on Form 10-Q for the quarters
               ended March 31, 2000, June 30, 2000 and September 30, 2000.

          3.   The description of the Company's Common Stock set forth under the
               caption "Description of Registrant's Securities to be Registered"
               in the Company's Registration Statement on Form 8-A (No. 0-15846)
               filed under the Securities Exchange Act of 1934, as amended (the
               "Exchange Act"), and any reports or amendments to the foregoing
               filed with the Securities and Exchange Commission for the purpose
               of updating such description.

          4.   All documents filed by the Company pursuant to Sections 13, 14,
               or 15(d) of the Exchange Act subsequent to the date of this
               Registration Statement and before the Company files a
               post-effective amendment hereto which indicates that all shares
               of Common Stock being offered pursuant to this Registration
               Statement have been sold or which deregisters all shares of
               Common Stock then remaining unsold.

ITEM 4.        DESCRIPTION OF SECURITIES

          Not Applicable.

ITEM 5.        INTERESTS OF NAMED EXPERTS AND COUNSEL

          Certain partners and attorneys associated with Neal, Gerber &
Eisenberg own shares of Common Stock.

ITEM 6.        INDEMNIFICATION OF DIRECTORS AND OFFICERS

          Section 145 of the Delaware General Corporation Law empowers the
Company to indemnify officers and directors in certain instances. Article
Seventh, Section 2 of the Restated Certificate of Incorporation of the Company
provides as follows: "The directors, as well as the officers, employees and
agents of the Company shall be indemnified by the Company to the fullest extent
permitted by the Delaware General Corporation Law as the same exists or may
hereafter be amended." As a consequence, directors of the Company will be
insulated for liability for monetary damages for breach of fiduciary duty as a
director, including monetary liabilities for negligent or grossly negligent
business decisions, except for liability (i) for any breach of the director's
duty of loyalty to the Company or its stockholders, (ii) for acts or omissions
not in good faith or which involve intentional misconduct or a knowing violation
of law, (iii) for the payment of unlawful dividends or unlawful stock
repurchases or redemptions, or (iv) for transactions in which the director
received an improper personal benefit. The exculpation provided with respect to
liability by the foregoing is effective for actions taken after April 16, 1987.

          The By-Laws of the Company contain provisions whereby the Company will
indemnify its directors, officers, employees and agents against liabilities
incurred in connection with, and related expenses resulting from, any claim,
action or suit brought against such persons as a result of their relationship
with the Company, provided that it is determined that such persons acted in
accordance with a stated standard of conduct in connection with the acts or
events upon which such claim, action or suit is based. Such discrimination will
be made either by quorum of disinterested directors, if available, or by
independent legal counsel in a written opinion, or by the vote of the Company's
stockholders. The finding of either criminal or civil liability on the part of
such persons in connection
3

with such acts or events is not necessarily determinative of the question of
whether such persons have met the required standard of conduct and are,
accordingly, entitled to be indemnified.

          The Company has purchased for the benefit of its officers and
directors an insurance policy, whereby the insurance company agrees, among other
things, to make payment to the Company in the event any such officer or director
becomes legally obligated to make a payment in connection with an alleged
wrongful act. Wrongful acts means any breach of duty, neglect, error,
misstatement, misleading statement, omission or other act done or wrongfully
attempted by an officer or director of the Company.

ITEM 7.        EXEMPTION FROM REGISTRATION CLAIMED

          Not Applicable.

ITEM 8.        EXHIBITS
Exhibit
Number                   Description of Document                                        Page No.
------                   -----------------------                                        --------
4.1                      First Health Group Corp. Stock Option Agreement, dated
                         as of May 18, 1999, by and between the Company and
                         James C. Smith .............................................     ____

4.2                      First Health Group Corp. Stock Option Agreement, dated
                         as of May 18, 1999, by and between the Company and
                         James C. Smith .............................................     ____

5                        Opinion of Neal, Gerber & Eisenberg ........................     ____

23.1                     Consent of Deloitte & Touche LLP ...........................     ____

23.2                     Consent of Neal, Gerber & Eisenberg (included in
                         Exhibit 5 to this Registration Statement) ..................     ____

24                       Powers of Attorney .........................................     ____
ITEM 9.        UNDERTAKINGS

          The undersigned hereby undertakes:

          1.   To file, during any period in which offers or sales are being
               made, a post-effective amendment to this Registration Statement
               to include any material information with respect to the plan of
               distribution not previously disclosed in the Registration
               Statement or any material change to such information in the
               Registration Statement.

          2.   That, for the purpose of determining any liability under the
               Securities Act of 1933, as amended (the "Act"), each
               post-effective amendment to this Registration Statement shall be
               deemed to be a new Registration Statement relating to the
               securities offered therein, and the offering of such securities
               at that time shall be deemed to be the initial bona fide offering
               thereof.

          3.   To remove from the registration by means of a post-effective
               amendment any of the securities being registered which remain
               unsold at the termination of the offering.

          4.   That, for purposes of determining any liability under the Act,
               each filing of the Company's annual report pursuant to Sections
               13(a) or 15(d) of the Exchange Act that is incorporated by
               reference in this Registration Statement shall be deemed to be a
               new registration statement relating to the

                                      II-2
4

               securities offered therein, and the offering of such securities
               at that time shall be deemed to be the initial bona fide offering
               thereof.

          Insofar as indemnification for liabilities arising under the Act may
be permitted to directors, officers or persons controlling the Company pursuant
to the Delaware General Corporation Law, the Restated Certificate of
Incorporation of the Company, the By-Laws of the Company or otherwise, the
Company has been advised that in the opinion of the Securities and Exchange
Commission such indemnification is against public policy as expressed in the Act
and is therefor unenforceable. In the event that a claim for indemnification
against such liabilities (other than the payment by the Company of expenses
incurred or paid by a director, officer or controlling person of the Company in
the successful defense of any action suit or proceeding) is asserted by such
director, officer or controlling person in connection with the securities being
registered, the Company will, unless in the opinion of its counsel the matter
has been settled by controlling precedent, submit to a court of appropriate
jurisdiction the question whether such indemnification by it is against public
policy as expressed in the Act and will be governed by the final adjudication of
such issue.

                                      II-3
5

                                   SIGNATURES

          Pursuant to the requirements of the Securities Act of 1933, as
amended, the Registrant certifies that it has reasonable grounds to believe that
it meets all of the requirements for filing on Form S-8 and has duly caused this
Registration Statement to be signed on its behalf by the undersigned, thereunto
duly authorized in the City of Downers Grove, State of Illinois on the 15th day
of March, 2001.

                                         FIRST HEALTH GROUP CORP., a Delaware
                                         corporation

                                         By: /s/ James C. Smith
                                         ------------------------------------
                                                   James C. Smith,
                                              Chairman of The Board, Chief
                                             Executive Officer and Director

                                      II-4
6
          Pursuant to the requirements of the Securities Act of 1933, as
amended, this Registration Statement has been signed by the following persons in
the capacities indicated on the 15th day of March, 2001.
Signature                                         Title
           ---------                                         -----
/s/ James C. Smith                      Chairman of the Board, Chief Executive Officer and
--------------------------------        Director (Principal Executive Officer)
    James C. Smith

/s/ Joseph E. Whitters                 Vice President, Finance, Chief Financial Officer and
--------------------------------       Treasurer (Principal Accounting and Principal Financial
    Joseph E. Whitters                 Officer)

/s/ Daniel S. Brunner*                 Director
--------------------------------
    Daniel S. Brunner

/s/ Michael J. Boskin*                 Director
--------------------------------
    Michael J. Boskin, Ph.D

/s/ Robert S. Colman*                   Director
--------------------------------
    Robert S. Colman

/s/ Ronald H. Galowich*                 Director
--------------------------------
    Ronald H. Galowich

/s/ Harold S. Handelsman*               Director
--------------------------------
    Harold S. Handelsman

/s/ Don Logan*
--------------------------------        Director
    Don Logan

/s/ Thomas J. Pritzker*                 Director
--------------------------------
    Thomas J. Pritzker

/s/ David E. Simon*                     Director
--------------------------------
    David E. Simon

* By: /s/ Joseph E. Whitters
      ----------------------
          Joseph E. Whitters
          Attorney-in-fact
II-5