The 26-year-old was sent off after eight minutes during Motherwell's 2-1 defeat by Hearts in December 2010.
The Liverpool-born player was arrested by Merseyside police at his home.
Scottish FA chief executive Stewart Regan said: "The Scottish FA has received notification from the Gambling Commission that the Motherwell FC player, Steve Jennings, was arrested at his home today by Merseyside Police.
"This follows extensive enquiries in relation to alleged betting irregularities at a Scottish Premier League match between Motherwell and Hearts on December 14, 2010.
"While the investigation involves several other individuals out with Scotland, it is important to stress that the evidence gathered throughout this thorough period of investigation has involved only one Scottish match."
Merseyside police have also arrested nine men, who are aged between 22 and 68, in connection with the betting probe.
Motherwell are expected to issue a statement in due course.