Germany's Maria Hoefl-Riesch, super-combined winner on Monday, was again thwarted in her bid to equal retired Croatian Janica Kostelic's record haul of four golds and had to settle for silver.
On a bright, warm day on the softening Rosa Khutor slope, with the tight course set by Austrian Florian Winkler, Austria's Nicole Hosp picked up a bronze to go with her super-combined silver.
"It didn't feel like I was pushing myself to the limit," said Fenninger. "It's such a difficult track, but I have to give praise to the coach who set the course because you have to be so tactical.
"I didn't think it was going so well while I was going down. I thought the top bit went extremely well, the middle wasn't so good, and the bottom part was OK."
Only one of the first eight starters made it to the finish and the carnage continued with Switzerland's Dominique Gisin, who shared downhill gold with Slovenia's Tina Maze on Wednesday, sliding off in a tangle of skis after starting 11th.
"Unfortunately today I just lost the grip. It was really, really bumpy on the top," said Gisin. "(Lower down) the snow was just going away underneath your feet."
"It was definitely a battle," added U.S. skier Laurenne Ross, who also went out. "Especially running at the beginning was very hard."
There was also the alarming sight of a course worker still on the piste and close to one of the gates when Hoefl-Riesch, the 22nd starter, was well into her run and ahead of Fenninger on the split times.
Hoefl-Riesch made a big mistake on the last jump and was surprised to have collected her first Olympic silver after three gold medals.
"It was really a very treacherous run for us but it was OK at the end. I'm really happy with my Olympics so far," said the German (pictured below).
Austrian skiers have now won the last three Olympic women's super-G gold medals. Michaela Dorfmeister was the champion in 2006 and Andrea Fischbacher in 2010.
Fenninger, who was 18th out of the start hut, was world champion in super-combined in 2011 and has five World Cup wins to her credit, although only one this season and that was in a giant slalom on home snow in Lienz in December.
The 24-year-old was eighth in the Olympic super-combined and failed to finish higher than 16th in her three races in Vancouver four years ago.
She also failed to finish Wednesday's downhill and said that had been hard mentally.
"In the past few days I had to really think about what was important. These were not easy days," she added. "On the other hand I always thought this was the right thing to do and I have nothing to blame myself for. I tried to keep going."
Pre-race favourites Lara Gut of Switzerland and Maze finished fourth and fifth while Julia Mancuso of the United States was eighth.
"It is all about making mistakes. When you do mistakes, you have problems and today I was the problem," said Maze (pictured below).