Jenks was claimed off of waivers by the Chicago White Sox for $20,000 and was sent to the club's Double-A affiliate, the Birmingham Barons. Jenks was called up to the major leagues by the White Sox on July 5, 2005. The White Sox made it to the 2005 World Series, and Jenks pitched in each of the Series' four games. The White Sox won the series in four straight games over the Houston Astros, and Jenks pitched a total of five innings and made the series' final pitch. He recorded saves in Games 1 and 4, had a blown save in Game 2, and pitched scoreless 11th and 12th innings in the 14-inning Game 3. Jenks and Adam Wainwright of the St. Louis Cardinals are the only rookie closers to earn a save in the clinching game of a World Series.