McPherson, who has never won on the LPGA Tour, goes into the final round of the season's first major women's championship with a one-shot lead over Cristie Kerr. McPherson, 27, was at 8-under 208.
Kerr, an 11-time winner on the LPGA Tour who also posted a 70 Saturday was in second place at 7-under 209. Kerr, the 2007 U.S. Women's Open champion, is trying to win her second career major.
Brittany Lincicome (70) was in third place at 210. Jimin Kang (71) and Lindsey Wright (71) were tied for fourth at 212.
Christina Kim, who shared the second-round lead with McPherson, shot a 75 to drop into sixth place at 213.