Stanton, who leads the National League in home runs and RBIs, has been unable to reach a long-term deal with the Marlins and has been the subject of trade speculation throughout this season.
But the Marlins have refuted any trade rumors involving Stanton, and Jennings supported that position to USA Today Sports, which interviewed several general managers ahead of baseball's July 31 non-waiver trade deadline.
Jennings also said that the Marlins aren't going to trade McGehee, who entered play Tuesday with a team-leading .322 batting average and 53 RBIs.
"He ain't going nowhere, either," Jennings told USA Today Sports.
Stanton, the Marlins' lone representative in next week's All-Star Game, is batting .305 with 21 homers and 62 RBIs this season. The 24-year-old outfielder will be eligible for free agency after the 2016 season.
McGehee signed with the Marlins this past offseason after playing in Japan last season. The 31-year-old third baseman is one of five players in the Final Vote for the NL's last All-Star roster spot.