Henderson, who led after each of the first two rounds, fell out of first place after a second-round 67 but remained within striking distance of her first win this year.
"Two bogeys to finish, but that just gives me a little more motivation going into tomorrow", said Henderson.
But the new world No.1 has had a slow start in MI, carding back-to-back rounds of two-under 69 to share 30th place with 11 others.
"My greens in regulation were a lot better than the last couple of years, which means I have a lot of chances to make a birdie, not par". "I would have liked to go a little bit further under par today, but just the course wasn't giving it to me".
"I had a really good feeling and made a lot of birdies, a lot of putts". "Hopefully I'll keep doing that".
Thompson, who has shown incredible resilience to bounce back from the heartache and controversy surrounding the four shot penalty she incurred during the final round of the ANA Inspiration, completed a round of 64 to come from two off the 36 hole pace to take the lead into the final round.More news: Jury questions posed during Bill Cosby's sex assault trial
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She delivered an eagle and six birdies, in a performance that comes on the back of a tie for 11th in her last outing at the Manulife LPGA Classic.
Flooding caused the par five 5th hole to be played as a par three, which saw the course played as a par 69, meaning Thompson's round of 5-under par under was in fact a 64.
"I struck my irons really, really well", Pace said. I was looking at birdie nearly every hole, which is quite nice. Lydia Ko, at No. 2 after an 85-week run at the top, was at six under after a 71.
Henderson birdied Nos. 12 and 13 and closed with five pars.
Ko offset two birdies with a bogey across the front nine on Saturday (NZT) to turn one-under the card, then added another birdie at the par-five 11th.