Is there another phrase or way of saying "preceded someone to a room"? I thought of "leading someone to a room", but I think it doesn't imply that you went inside the room first, can "leading someone to a room" also mean "preceded him to a room"? Is there any set phrase that means this, I have been looking for a phrase that means that, but without much success.
To precede someone into a room is to enter the room before them, probably with the second person immediately following.
You are correct that "leading someone to a room" does not work in this case. Leading a person to a room means to show them how to get there. The one leading need not enter at all.
However, "Leading someone into a room" would imply that you entered it before them in much the same way that preceding does.
"Entering the room before/ahead of someone" would also work, though you'd want to make clear by the context that the entering was done just a moment ahead of the second person.