Stenson leads South African Open
Stenson had six birdies and three bogeys in a 69 for a 16-under total of 200, three clear of Coetzee and Swedish compatriot Magnus Carlsson.
The 36-year-old Stenson is looking for his first title since the Players Championship in 2009 but will have to hold off a fast-finishing Coetzee on Sunday.
''George (Coetzee) was on fire today, so I'll obviously need to watch out,'' Stenson said. ''But the final round is about focusing on your own game and playing well, and what happens happens. I'm focused on playing well ... and winning this championship.''
Coetzee had nine birdies and an eagle to break the course record at Serengeti Golf and Wildlife Estate despite having bogeys on two short holes on his back nine, the 12th and 15th. The South African recovered from those to end his round with successive birdies to put himself in contention for a maiden tour title.
''It's great to shoot a 63 and I'm very happy, but I have to forget about it as soon as possible,'' Coetzee said. ''I've got to go out tomorrow.''
South African pair Darren Fichardt and Merrick Bremner are fourth and fifth respectively.
Martin Kaymer's 68 put him in a tie for sixth at 8 under. The former top-ranked golfer improved steadily through his South African Open debut and carded five birdies in his third round to go with just one bogey.
Charl Schwartzel had a 2-over 74 to slip 10 shots off the pace at his home open. Another South African hope, Branden Grace, had a 78 to slide down to 61st and effectively end his hopes of capping a breakthrough season on the European Tour with a fifth title.
While Coetzee's round was spectacular, Stenson's was solid.
The Swede had a run of three straight birdies to end his front nine and despite not showing the fluid game that brought him a 66 and 65 in his opening two rounds, he battled through the back nine to keep his overall advantage.
Victory on Sunday would earn the former Ryder Cup player his first European Tour title since February 2007 at the WGC Accenture Match Play Championship.
Carlsson was also in contention in a tie for second with Coetzee after his consistently good form at Serengeti. Carlsson has carded 68, 67 and 68 for his 13-under 203.
Grace, the highest placed player in the European money list at sixth, had a disastrous Saturday with five bogeys and a double-bogey seven on the long par-5 16th to be 3 over for the tournament.