The Danish pair started the day at Kingston Heath with a three-shot cushion after sizzling second round 60 and mixed five birdies with three bogeys to move to 14-under for the tournament.
"We showed yesterday that a really low score is possible out there in the fourball," Olesen told reporters.
"It's definitely not going to be easy tomorrow. There's a lot of great players here and a lot of birdies out there. It's a four shot lead, which is really nice, but it's not going to be easy."
Americans Rickie Fowler and Jimmy Walker were second after a 69 in the alternate shot format moved them to 10-under, a shot better than China's Wu Anshun and Li Haotong, who made a double bogey-bogey start but recovered for a round of par 72.
Japan (71), France (72) and first-round leaders Spain (73) will be tied for fourth seven shots off the pace going into Sunday's final round fourballs at the sandbelt course.
It looked like being a bigger deficit when 26-year-old Olesen sank a four-foot birdie putt at the 13th to give the Danes a six-shot lead over the field.
The putts would not drop for the duo over the next couple of holes, however, and at the 17th, Olesen's drive found one of the series of bunkers on the left of the fairway.
Kjeldsen got the ball onto the green with a fine recovery shot but the pair three-putted for a bogey to take a little bit of the shine off their day.
Walker had earlier drained a six-foot birdie putt on the same green to bring the Americans, who have won a record 24 World Cup titles, a shot closer to their rivals.
"It would be nice to be out front or a little closer, but with where we were coming into today, just putting up a solid round of golf was that we wanted to do," Fowler said.
"We did that and we gave ourselves a chance going into tomorrow."
Australian Adam Scott's hopes of defending the title he won with Jason Day at Royal Melbourne in 2013 look slight as he and Marc Leishman hit a 70 to stand 10 shots adrift in a share of 11th.
(Reporting by Nick Mulvenney in Sydney; Editing by John O'Brien)
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