Jennings, who takes over the captaincy from the injured Leo Cullen (shoulder), continues his back row partnership with Kevin McLaughlin and Jamie Heaslip.
Meanwhile, Eoin Reddan partners Jonathan Sexton at half-back, with Gordon D'Arcy lining up alongside Brian O'Driscoll in the centre.
CJ van der Linde starts in the front row alongside John Fogarty and Stan Wright, while a decision on the replacement prop will be made closer to kick-off.
South African van der Linde's selection at tighthead prop is the one and only change to the Leinster team that overcame Munster 16-6 in the recent semi-final at the RDS.
He replaces Cian Healy who has been ill in the lead-up to the grand final, with Wright switching to the loosehead side of the scrum.
Speaking ahead of his final game in charge of the province, head coach Michael Cheika said: "The biggest thing for me is the team spirit which has been as strong as it has ever been for me.
"And that's something that we have worked hard to build as a playing group and hopefully that will hold us in good stead on Saturday night.
"The Ospreys are the most dangerous team in the competition. You've just got to look at the speed they've got which is one of the most dangerous facets in any team's game, with guys of the calibre of (Tommy) Bowe and (Shane) Williams out wide.
"And if you have the luxury of playing a quality player like James Hook in the centre because there's another number 10 who is pushing him then you've got to have some good players.
"(Andrew) Bishop is a quality player in the middle and their back row speaks for themselves in how they play.
"I really think that they will target us in the tight five and I think that our tight five are very well focused on what will be the biggest battle for us of the season, because it's all or nothing. As we've said before, whoever wants it more will win."
LEINSTER (v Ospreys): Rob Kearney; Shane Horgan, Brian O'Driscoll, Gordon D'Arcy, Isa Nacewa; Jonathan Sexton, Eoin Reddan; Stan Wright, John Fogarty, CJ van der Linde, Nathan Hines, Malcolm O'Kelly, Kevin McLaughlin, Shane Jennings (capt), Jamie Heaslip.
Replacements: Richardt Strauss, Cian Healy/Mike Ross, Trevor Hogan, Stephen Keogh, Paul O'Donohoe, Fergus McFadden, Girvan Dempsey.