The visitors created the best opportunities but a fortuitous goal from Theo Walcott earned the Gunners a 1-1 draw.
Jenas had given Spurs the lead but young England hope Walcott levelled the scores with 11 minutes left, with the ball appearing to come off either Walcott's stomach or arm after he was blocked by Lee Young-Pyo.
Spurs skipper King, apparently back in the team to stay after a lengthy spell on the sidelines, told Sky Sports: "I thought we deserved to win the game. We knew they would come back at us, they always seem to come back and we are disappointed we didn't get the win.
"It's half the job done at the moment. It will be a tough game (in the second leg) but we're ready for it."
Jenas added: "We felt like we created enough chances to take a victory back to White Hart Lane, there's another game to come and we've got to stay focused, but we're frustrated.
"We feel we should have come here and won. Not many teams manage to come here and create anything but we did and that's definitely a positive."
Asked about the impact King's return had on the team, Jenas said: "Everybody around him feels secure when Ledley is playing and it's great to have him back."
Spurs assistant manager Gus Poyet believed his side were unlucky not to leave the home of their fiercest rivals with a win.
"We were the better team. We deserved to win but it's a 90-minute game," he told Sky Sports 1.
"The hardest part (to take) is the goal. If they score in the top corner you can take it but when it takes a deflection, it hits him twice..."
Poyet predicted a lively second leg at White Hart Lane.
"It's going to be like a normal derby, 50-50, still difficult for us and the same for them, but it's only 90 minutes," he added.
"We want to be in the final and to be in the final we have to beat them."