Durham 253 for 8 (Collingwood 69, Richardson 64, Gurney 5-51) beat Nottinghamshire 274 for 5 (Lumb 105, Christian 57) by two wickets (D/L method)
Durham had to chase a revised target of 252 from 37 overs and Gurney had all but secured Nottinghamshire's win by dismissing Michael Richardson with the fourth ball of the last over when nine runs were still needed.
Michael Lumb's third successive Royal London Cup hundred proved in vain as Nottinghamshire's blazing start to the competition was halted at Chester-le-Street.
It spoilt the excellent effort of Gurney, who had five for 42 until a full toss was launched over mid-wicket by the left-handed Jennings, who then drove the final ball between mid-off and extra cover.
Richardson almost took Durham to the line with a List A best of 65 off 56 balls, while Paul Collingwood's 69 off 65 was also crucial.
In a match interrupted five times by drizzle, Nottinghamshire may have had cause to regret choosing to bat as they totalled 274 for 5 in 42 overs.
Lumb made 105 to take his aggregate to 422 at an average of 140.66, but with hindsight the visitors would have felt they did not go quickly enough in reaching 124 for 1 after 25 overs.
The innings reached a crescendo with 48 off the last four as Samit Patel made 40 off 25 balls and Dan Christian thrashed 57 off 43 before he was run out off the last ball of the innings.
Durham raced to 32 without loss after four before being halted by the only break in their innings.Gurney knocked out Mark Stoneman's middle stump with the third ball on the resumption and quickly struck twice more.
Collingwood joined Phil Mustard on 54 for 3 and dominated a stand of 74 before the wicketkeeper was lbw for 45, trying to sweep Patel.
Collingwood swept to a 40-ball half-century by cutting Jake Ball for his sixth four and when Richardson pulled a Patel long hop for six Durham needed 105 off 15.
They had the target down to 62 off eight when Collingwood was superbly caught by Brendan Taylor at long-off for 69 off Patel.
But Richardson kept going until three balls from the end, when he holed at deep mid-wicket off Gurney. It looked all over, but Jennings had other ideas.