Thompson, who has shown unbelievable 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.
Seven golfers, meanwhile, are one shot further back at 10-under, just five shots back of the lead.
Henderson won twice past year, taking the KPMG Women's PGA Championship for her first major, and successfully defending her title in the Cambia Portland Classic.
Thompson endured a two-hour rain delay to shoot a 5-under-par 64 and take a one-stroke lead over four players at Blythefield Country Club in Grand Rapids, Mich. "But this week seems to be a turnaround week, and hopefully I can just finish strong the next two days".
"This is definitely a great layout for my game", she said. "I feel comfortable. I played here a year ago and I'm excited for the weekend".
"I struck my irons really, really well", Pace said.
New Zealand's Lydio Ko finished the tournament in a tie for tenth after a final round one-under 68 while Australia's Sarah Jane Smith finished in a tie for 37th.
With the par for the day being reduced to 69, she was five-under 64 for the round and Aditi had a 66, which was three-under.
Coming off a playoff loss to Ariya Jutanugarn last week at the Manulife Classic in Cambridge, Ont., Thompson had six birdies - four on the back nine - and a bogey to reach 15-under 196.
Su Oh leads the two Australians who made the cut, the Victorian adding a third round of 65 to move into a share of 18th.