Training was interrupted for about 45 minutes after Austrian skier Stefanie Moser crashed, and many racers struggled with a difficult jump near the top of the Oreiller-Killy course.
Austrian team doctor Klaus Pribitzer said in a statement that Moser sustained a mild concussion and damaged interior ligaments in her right knee. She was to travel back to Austria later Friday to undergo further tests.
Fenninger, who is second in the overall standings behind Tina Maze, was .42 seconds faster than Sterz and .45 quicker than Vonn.
"Moser crashed, everyone had problems with the jump, so I was a bit nervous. I didn't ski my best," said Vonn, who lost about half a second on her run. "Apart from my mistake, it was a pretty fast run and it gives me confidence for tomorrow."
Vonn was a little surprised by the intensity of the jump, which had to be slightly flattened following Moser's crash.
"It's not that far, it's just really high off the ground and then right when you land it's a little compression," the American said. "All things considered it was a pretty solid time. I know I can do much better but I'm confident and I feel good."
Larisa Yurkiw of Owen Sound, Ont., was 55th.
The downhill race is on Saturday, followed by a super-G on Sunday.
Vonn, coming back from a career-threatening knee injury, won a downhill in Lake Louise, Canada, this month, her first win in nearly two years. The next day, the four-time World Cup champion was second in a super-G.
Her previous World Cup victory was in GS in January 2013 in Maribor, Slovenia, and she has raced only seven races since. Less than two months after that win, she injured her right knee in a crash at the world championships.