Jennings worked for the Sunday Times Insight team in the late 1960s, after which he worked for other British newspapers before becoming an investigative reporter on BBC Radio Four's Checkpoint. In 1986 the BBC refused to broadcast his documentary concerning corruption in Scotland Yard; Jennings reacted by resigning and transforming the material into his first book, Scotland Yard's Cocaine Connection, and the documentary was aired by World In Action.

Jennings subsequently worked for Granada, filming several international investigations and small documentaries. His investigation of British involvement in the Iran-Contra affair won the gold medal at the 1989 New York TV Festival. In 1993 Jennings entered Chechnya with the first western TV crew ever to enter the country, to investigate Caucasus mafia activity. 1997 saw Jennings working with World In Action, with an investigation on British olympic swimming coach Hamilton Bland, and in 1998 he presented a documentary on rail privatisation.

In 2006 Jennings investigated several allegations of bribery within FIFA for the BBC's Panorama, including million dollars bribes to secure marketing rights for company ISL along with vote-buying (to secure the position of FIFA president Sepp Blatter), bribery and graft attributed to CONCACAF president Jack Warner.