Henninger tumbled out of a tie for the lead with a triple-bogey at the par-four 16th, after losing his ball in thick rough with his second shot, before Montgomerie finished off in style with a birdie at the last to card a two-under-par 70.
That left Montgomerie at five-under 211, three strokes in front of German Bernhard Langer, who birdied the final two holes for a 69 on the challenging Pete Dye course at the French Lick Resort.
Henninger wound up with a 74 for a share of third place at one under, level with fellow American Scott Verplank (70) and Mexico's Esteban Toledo (73).
“I'm very proud of what I achieved today, because you had to play chess with the course,” Montgomerie, 51, told reporters. “It's a very, very difficult golf course ... you got to think about things.
“Long day ahead tomorrow. There's seven miles to walk, and the emotions will go up-and-down like a roller coaster. But I came here to be in contention on Saturday evening and I am. So, job done so far.”
Montgomerie, who won last year's Senior PGA Championship at Harbor Shores in Michigan before claiming his second Champions Tour major two months later at the U.S. Senior Open, made a faltering start on Saturday with a bogey at the par-four first.
However, the Scot made no further errors after that on a demanding layout as he birdied the ninth, 11th and the par-four 18th to tighten his grip on the second of the season's five major championships for senior golfers.
Regarded as one of the best players never to have won a regular major championship, Montgomerie believes a more relaxed approach to his game has left him poised to claim a third major in the over-50 ranks.
“It was frustrating to come to these championships and to walk off with a runner's up medal,” he said. “I've done that five times.
“I'm more relaxed than I was. My temperament is more consistent and I think that that's helping. I'm enjoying it.”
Former British Open champion Tom Lehman, who had led by one stroke overnight, plummeted down the leaderboard into a tie for 13th at two over par after struggling to a 78 that included eight bogeys and two birdies. – Reuters
Original source: Monty seizes lead in Senior PGA