Jennings was taken out of the Everton Academy by his father and instead joined the Tranmere Rovers Centre of Excellence in 1998. He was a key part of the Rovers youth team that reached the FA Youth Cup semi-finals in 2003. He signed a three-and-a-half-year professional contract with the club in October 2002. He made his first team debut on 18 October 2003, coming on as a last minute substitute for Iain Hume in a 2–1 win over Oldham Athletic at Prenton Park. He made his first start on 13 December, in a 2–2 draw at Chesterfield. He played a total of four Second Division games during the 2003–04 campaign, and featured in 11 League One games during the 2004–05 season.
