Jennings had a 103 finish and an 11-dart leg en route to taking the first set. Montgomery, ranked BDO world No 5, levelled at 1-1 before taking a 2-0 lead in the third set. However, the Englishman took the next three legs, including a 102 checkout, to take a 2-1 lead.
Jennings then won the fourth set with a stunning 14-dart leg. Tony Eccles was edged out 3-2 by Belgium's Geert De Vos. Dutchman Wesley Harms beat Norway's Rune David 3-1.
Al-Atiyah takes third stage
RALLY: Nasser Al-Atiyah won the third stage (Pisco-Nazca) of the Dakar Rally after a very strong performance by the Qatari.
The Qatar Red Bull driver edged out former team-mate Robby Gordon (Hummer) by one minute 18 seconds.
Overall leader Stephane Peterhansel came in third, 3mins 52secs adrift followed by Lucio Alvarez (Toyota).
In the bikes, Cyril Despres took the overall lead ahead of Francisco Lopez and Pal Ullevalseter.
GRIDIRON: The University of Alabama won college football's national championship for the third time in four years with a crushing 42-14 victory over Notre Dame.
NBA: Washington 101 Oklahoma City 99, NY Knicks 96 Boston 102, Chicago 118 Cleveland 92, New Orleans 95 San Antonio 88, Utah 100 Dallas 94, Sacramento 81 Memphis 113, Portland 125 Orlando 119.