Fenninger, who will be after her first career downhill win in Saturday's race, timed 1 minute, 48.94 seconds on the 3-kilometre Kaelberloch course.
Lara Gut of Switzerland, who won a downhill in Beaver Creek last month, trailed Fenninger by 0.28 seconds in second, and defending overall champion Tina Maze of Slovenia was third, 0.61 behind.
"I didn't have a 100 per cent good feeling," Fenninger said. "I slid away and wasn't really on the (race) line so I was a bit surprised. But you shouldn't overrate a leading time in training."
Maria Hoefl-Riesch of Germany, who leads the overall standings, was 0.65 back in fourth, while Tina Weirather of Liechtenstein came seventh, 1.23 seconds off the lead.
Larisa Yurkiw of Owen Sound, Ont., was 20th and Marie-Michele Gagnon of Lac-Etchemin, Que., was 32nd.
The Kaelberloch is one of the most technically demanding courses on the women's circuit. Several racers missed gates in some of the sharp turns which would have led to disqualification in a race.
"It's easier than many think but you have to stand correctly over your skis," said Gut, who is aiming for her fifth win of the season. "If you are afraid, it gets really difficult."
The last time Zauchensee featured on the World Cup calendar was three years ago, when Lindsey Vonn won the downhill and finished runner-up to Gut in a super-G the following day.
The Olympic downhill champion is missing this time as she has ended her season to have surgery on her injured right knee.
Without Vonn, Julia Mancuso was the fastest American in training, finishing 2.86 seconds off the lead in 22nd.
The training run was brought forward by half an hour to avoid the course being damaged by expected warm weather in the afternoon.
"The course is in good shape but it's also a fact that it's warm," FIS race director Atle Skaardal said. "The course is not as hard and compact as what we hoped for. ... It's quite difficult."
Another downhill training is scheduled for Friday. After Saturday's race, there are two more downhills left before the Sochi Olympics next month — in Cortina d'Ampezzo, Italy, and Garmisch-Partenkirchen, Germany.Suggest a correction