Feng, looking for her second LPGA Tour title and 10th win overall as a professional, closed her bogey-free third round with three consecutive birdies to move to 21-under 196 after 54 holes.
Stacy Lewis, with a 65 Saturday, is in second at 20-under while Inbee Park, who turned in a third-round 66, sits in third at 16-under. Park is No. 1 in the women's golf rankings and Lewis is third.
Karrie Webb, who also shot 66 Saturday, is alone in fourth at 14-under with Choi Na-yeon, after a 72 in the third round, slipping to fifth. Second-round leader Jessica Korda suffered through a 3-over 76 and falls into sixth at 11-under.
Feng, who had two bogeys in Thursday's first round, was bogey-free both Friday and Saturday in shooting 64 each day.
She started the third round slowly, with only a birdie at No. 2 to show through five holes. But she had three more birdies in the final four holes of the front nine to make the turn at 4-under. She had birdies at 10 and 12 before pulling into the lead with three straight at Nos. 16-18