Henderson, who had surged into the lead after producing back-to-back eight-under-par 64s in the first two rounds, has a two-stroke advantage heading into Sunday's final round at Blythefield Country Club in Grand Rapids.
On Saturday, Henderson carded a three-under-par 69 to remain ahead of the pack after recording consecutive birdies on the final three holes to put her at 19 under par.
Until that late birdie spree, Henderson had risked relinquishing the lead after an even-par round that contained of three birdies and three bogeys.
Henderson is two clear of American Annie Park, who took full advantage of the benign conditions to post a flawless seven-under-par 65.
Park made seven birdies and 11 pars in a bogey-free third round which left her alone in second on 17 under.
The round of the day however belonged to Lexi Thompson, who motored up the leaderboard with a dazzling 10-under-par 62, equalling the course record.
Thompson started the day 10 shots off the lead at six under par.
However the 24-year-old from Florida produced a sensational performance which included 10 birdies before a brilliant eagle three on the 18th. Bogeys on the third and 16th holes denied Thompson a 60.
Thompson, who is coming off a dramatic win at last weekend's Shoprite Classic last weekend, shared third with Brittany Altomare, who carded a 69 to finish the day on 15 under.
Jennifer Kupcho was alone in fifth place on 15 under after a third consecutive round of 67, while three players -- Su Oh, Morgan Pressel and Madelene Sagstrom -- were tied for sixth on 14 under.