Henderson bogeyed the final two holes and shot even-par 72 after squandering a five-stroke lead on the Lake Merced course in San Francisco.
The 17-year-old betrayed her nerves in attempting to save par at the last, her timid jab at a four-foot putt failing to even threaten the hole.
Henderson, who does not have exempt status on the LPGA circuit after being denied a waiver due to her age, is nine-under with a total of 207.
American Morgan Pressel (67) and South Korean Kwak Min-seo (69) are one shot behind, while defending champion Lydia Ko trails by three.
Pressel birdied four of the final six holes to surge into contention for what would be her first victory since 2008.
Henderson was unsettled after her group was put on the clock for slow play over the closing holes, but she nonetheless spoke positively about her position.
“Overall it was a great day, and I'm really happy to be where I am,” Henderson told reporters.
“If someone told me at the beginning of the week I would be leading going into the final round, I would've taken it.
“Back home in Canada I have received a lot of pressure the last couple years.
“If you have pressure it means you're doing something right. I try and use it to my advantage and try and use it to help me get better.” – Reuters
Original source: Teen leads Swinging Skirts