The Denmark pair went into Saturday holding a three-shot lead, having signed for a sensational 12-under-par 60 on Friday, and they were able to keep that positive momentum going.
Olesen and Kjeldsen, who are both four-time European Tour winners, recorded five birdies and three bogeys to card a two-under 70 and move onto -14 overall for the tournament.
The in-form pair are now four strokes clear of USA's Jimmy Walker and Rickie Fowler in second and it is the Danes' tournament to lose going into the final day's play.
However, Kjeldsen has warned against complacency and insists another strong performance will be required in order to seal the title at Kingston Heath Golf Club in Australia.
"You need to stay aggressive on this course but you also need to be very careful," he said. "We won't be protecting a lead, we still need to go out with the same mentality and make as many birdies as we can.
"We know what's possible on this course, another 60 or even lower is out there tomorrow so we'll have to go low again, because someone else probably will."
China, who are represented by Wu Ashun and Li Haotong, managed a level-par 72 on Saturday and are sitting in third position on -9, five shots off the lead.
Japan, Spain and France are a further two strokes adrift on -7 in a three-way share for fourth while Italy have sole possession of seventh on -6.
It was a poor day for England's Chris Wood and Andy Sullivan as they struggled to a five-over-par 77, leaving the Ryder Cup pair in a share of 17th on -2.