Jenkins was a standout athlete at Columbia, South Carolina's Dreher High School, where he was a three sport star. Jenkins was drafted as the 1st round (24th overall selection) by the Boston Red Sox in the 1995 First Year Player Draft. He played four seasons in the Red Sox minor league system before he was traded to the Chicago White Sox. Corey made it to AA ball before getting released in 1999.
Jenkins then played football at Garden City Community College where he was a two-time All-American. He then was recruited to play football under Lou Holtz at the University of South Carolina. After two seasons with the Gamecocks, Jenkins was drafted by the Miami Dolphins in the sixth round of the 2003 draft. He played two seasons with Miami and one with Chicago. Jenkins had an article written about him in the May 2011 issue of ESPN The Magazine about a Ponzi Scheme that he was a victim of back in the 1990s at the start of his baseball career.