Two judges scored it 116-111, and the third made it 118-109 for Klitschko.
"Jennings would have beaten a lot of heavyweights," said Klitschko, 39. "He's a tough competitor."
Klitschko’s jab was working well during the fight and scored him a lot of points against his unbeaten opponent.
Jennings was on the defensive for the first third of the fight but got more aggressive as the fight progressed.
Klitschko responded by throwing more combinations, following up his stiff jab with a dangerous right and he finished strongly, landing a big right hand in the final seconds.
In the end when interviewed, Jennings thought the fight was much closer than the scoring suggested.
"Every time I started working he held me," said Jennings. "When he was holding I was hitting him to the body.
"I must have hit him with about a hundred body shots, but not much to the head.
"I think the margin should have been much closer."