The American started the day five shots adrift, but raced to the turn in only 32 shots, before adding three further birdies on the inward nine to finish on nine under par overall.
On a day of exceptional scoring Canada’s Rick Gibson and England’s Barry Lane both matched Thelen’s 65 to move into a share of fourth place, with Andrew Oldcorn and overnight leader Marc Farry also on six under par going into the final day.
Thelen arrived in Russia fresh from a tie for second place at last week’s Travis Perkins Masters and opened with a two under par 70 on Russia’s oldest course, before moving to the top of the leaderboard with an impressive round that included eight birdies and just one dropped shot, where he three-putted from the back of the green on the par five fourth.
The Texan got his round off to the perfect start with three consecutive birdies – a feat he repeated on the 15th, 16th and 17th before getting up-and-down from a greenside bunker to save his par on the last.
“I have been hitting the ball well for a couple of weeks, but today was the first time I felt I holed my fair share of putts,” Thelen said. “I started off like a train and I think that settled me down. I hit a lot of good irons into the greens and holed the five to six footers that make the difference between a good round and a mediocre one.
“I’m looking forward to tomorrow. There are a lot of people near the top of leaderboard so I’m going to have to play well, but I plan to have some fun whatever happens out there.”
Montgomerie will be out in the final group for the last round alongside Thelen, after an eight-iron to the 18th set up his sixth birdie of the day.
The former Ryder Cup captain was one over par for the day after three-putting the par five fifth, but promptly carded six threes over his next seven holes, to give himself a great chance of winning his fourth European Senior Tour title of the season.
“That putt at the last was important because it got me into the last group and that’s where I like to be heading into the final round,” said the double Senior Major Champion.
“I drove the ball exceptionally well but my irons weren’t quite as good. I’m going to have to improve a bit tomorrow because I think I might have to get to about 12 under to stand any chance of getting another win.”
Spain’s Martin will make-up the final three ball after firing a two under par 70, which included four birdies in seven holes from the ninth, but was marred by a bogey five at the last where he found a greenside bunker with his second shot.
“I played well in practice when I got here this week and I’ve been hitting it great ever since,” said Martin. “I hit 17 greens in regulation yesterday and the only ones I missed today were the fifth and the 18th.
“Any time you hit 33 greens over 36 holes you know you’re playing well.”
Like Montgomerie, Gibson is another who has enjoyed a fine season on the European Senior Tour, winning the Bad Ragaz PGA Seniors Open and finishing in a tie for third at The Senior Open Championship Presented by Rolex.
The Canadian was the third player to shoot 65 during the second round and he attributed his form to an improvement in the weather. “It warmed up a bit today and the fairways are also drier than they were at the start of the week. That helps me because I’m not one of the bigger hitters out here. I Iike a bit of run, so I hope we get another good day tomorrow.”
Lane also shot a 65, with his wife helping the Englishman improve his putting on day two.
“My wife Camilla gave me a putting lesson last night,” said Lane. “And it seemed to work because I think I had only about 27 or 28 putts. We agreed I should grip the putter with my hands a little bit further apart and it worked a treat.”
With such a packed leaderboard full of talent and in-form players, the final day in Moscow looks set to be an interesting one.
137 C Montgomerie (Sco) 69 68, M Martin (Esp) 67 70,
138 A Oldcorn (Sco) 72 66, R Gibson (Can) 73 65, B Lane (Eng) 73 65, M Farry (Fra) 65 73,
139 A Franco (Par) 69 70, S Tinning (Den) 68 71, G Brand Jnr (Sco) 71 68, C Monasterio (Arg) 72 67,
140 C Williams (RSA) 70 70, P Eales (Eng) 72 68,
141 R Drummond (Sco) 73 68, A Bossert (Sui) 73 68, P Golding (Eng) 68 73,
142 J Remesy (Fra) 70 72,
143 B Cameron (Eng) 71 72, W Grant (Eng) 71 72, G Rusnak (USA) 71 72, A Sherborne (Eng) 70 73, C Mason (Eng) 72 71, G Manson (Aut) 71 72, N Job (Eng) 74 69,
144 B Ruangkit (Tha) 71 73, M Cunning (USA) 72 72, B Longmuir (Sco) 74 70, S Luna (Esp) 71 73, J Berendt (Arg) 73 71,
145 M Davis (Eng) 72 73, B Conser (USA) 72 73, A Murray (Eng) 75 70, S McAllister (Sco) 76 69, P Linhart (Esp) 74 71, J Smith (USA) 76 69, P Fowler (Aus) 75 70, R Rafferty (Nir) 73 72, P Wesselingh (Eng) 71 74, M McLean (Eng) 73 72,
146 N Ratcliffe (Aus) 73 73, L Carbonetti (Arg) 73 73, S Van Vuuren (RSA) 73 73, E Romero (Arg) 74 72, M Harwood (Aus) 74 72, G Wolstenholme (Eng) 74 72,
147 G Ryall (Eng) 74 73, R Thompson (USA) 74 73, S Brown (Eng) 76 71, T Price (Aus) 73 74,
148 J Quiros (Esp) 73 75, D O’Sullivan (Irl) 71 77, J Gould (Eng) 76 72, H Buhrmann (RSA) 76 72,
149 D Hospital (Esp) 77 72,
150 B Lincoln (RSA) 74 76, S Cipa (Eng) 74 76, G Emerson (Eng) 78 72,
151 B Marchbank (Sco) 74 77, J Bruner (USA) 73 78, K Spurgeon (Eng) 76 75, H Carbonetti (Arg) 74 77,
152 P Walton (Irl) 75 77, J Carriles (Esp) 76 76,
153 M Mackenzie (Eng) 79 74, M Belsham (Eng) 80 73, J King (Eng) 77 76,
154 G Joyner (Aus) 80 74, G Brand (Eng) 74 80, P Jonas (Can) 78 76,
156 M Bianco (Ita) 79 77,
157 A Garrido (Esp) 81 76,
160 J Sallat (Fra) 82 78