Although Lee and Jenny had very little interaction up until Season 3, it can be assumed that they had been friends in elementary school, as Jenny (and the other outcasts) had been shown to attend Lee's tenth birthday party.
Throughout the third season of the show, Jenny develops a crush on Lee while being jealous of his relationship with Tina, creating a love triangle between the three. Unlike Tina-who is especially flirtatious with Lee-Jenny is able to keep her crush on him hidden. Despite this, however, the crush is one sided because Lee still has a crush on Tina.
Jenny apologised to Lee for accidently messing up his relationship with Tina.