The 19-year-old has been thrust into first-team action this season following a number of injuries to regular players.
Jenkinson has been a regular feature at right-back but has come in for criticism for some of his performances, not least in the 8-2 defeat to Manchester United.
"His fitness is outstanding, he's quick, he has good crosses and he is good going forward," said Wenger.
"He needs to adjust a little bit his defensive game. But we are working with him and he is improving.
"What happened to him so far is that he had good and less good games, especially the Man United game. But he had a good game at Udinese four days before."
Arsenal signed Jenkinson from Charlton during the summer transfer window.
Jenkinson had only played eight matches in league football prior to his move to the Emirates.