During Saturday's stage, the 20th which was timed, 25-year-old Vingegaard cycled into second place behind Belgian Wout van Aert.
But more importantly, he was eight seconds faster than Slovakian Tadej Pogacar, who is the closest chaser to Vingegaard in the overall.
Heading into the final 21st stage, 116 kilometers long that finishes on the Champs-Élysées in Paris on Sunday, Jonas Vingegaard leads by three minutes and 34 seconds over Pogacar.
The last Dane to win the Tour de France was Bjarne Riis in 1996. The same year Vingegaard was born.