Jennings was batting on 65 and No.3 Joe Root was unbeaten on 5 when lunch was called, with 31 overs bowled during the first session of play.
England skipper Alastair Cook was the only batsman dismissed at 46 when he was stumped by Parthiv Patel off the bowling of left-arm spinner Ravindra Jadeja.
England put on 99 for the opening wicket after winning the toss and electing to bat at the Wankhede Stadium.
Cook's decision of taking first strike seemed vindicated when he and Jennings put together a strong partnership.
They scored at a brisk rate of nearly four runs an over till Cook was foxed by Jadeja to come out of his crease and sharply stumped by Patel in the 26th over.
They were cautious yet firm to put away bad deliveries without hesitation.
Cook became the sixth batsman to score 2000 or more Test runs against India during his innings, when he reached 19.
Cook is the first England batsman to achieve the feat against India, which have some elite names -- Ricky Ponting, Clive Lloyd, Javed Miandad, Shivanarine Chanderpaul and Michael Clarke.
Both teams were forced to make changes to their playing XI, with India naming opener K.L.Rahul and pacer Bhuvneshwar Kumar and England naming Jennings and Kate Ball.