Henderson was drafted by the Montreal Expos in the 26th round of the 2003 Major League Baseball draft. He made his professional debut that summer playing first for the Rookie League GCL Expos, then the Class AVermont Expos. Henderson played all of 2004 with Vermont. In 2005, Henderson played for the Class A Savannah Sand Gnats. He returned to Savannah in 2006 in addition to pitching for the Class A-Advanced Potomac Nationals. He was then selected by the Chicago Cubs in the 2006 Rule 5 draft and split the 2007 and 2008 seasons with their Double-A Tennessee Smokies and Triple-AIowa Cubs. He suffered a shoulder injury that resulted in his release from the Cubs Organization. Henderson signed a minor league contract with the Brewers in 2009. He played the majority of that season with the Class A Wisconsin Timber Rattlers, but also played for the Class A-Advanced Brevard County Manatees and Double-A Huntsville Stars. Henderson played the entire 2010 season with Huntsville. In 2011, he split the season between Huntsville and the Triple-A Nashville Sounds.
Milwaukee Brewers
2012
After ten years in the minor leagues, Henderson earned his first promotion to the Major Leagues when the Milwaukee Brewers summoned him on July 26, 2012, making his Major League debut that night against the Washington Nationals, pitching one inning and striking out the first batter he faced, Roger Bernadina. Henderson, a Pacific Coast League All-Star in 2012, had a 1.69 earned run average, 4 wins and 15 saves as the closer in Nashville.
2013
In 2013, Henderson replaced struggling fellow Canadian-born John Axford as the Brewers closer. Henderson thrived in the role, going 5-5 with a 2.70 ERA while collecting 28 saves in 32 opportunities. His fastball had great velocity, reaching up to 98 mph, and he established his slider as a strike-out pitch, which established himself as a strikeout pitcher, finishing the season with an 11.25 K/9. Francisco Rodriguez closed while Henderson was on the DL with a hamstring strain, but Henderson regained the role when Rodriguez was traded to the Orioles.
2014
Henderson won the Brewers closer job out of spring training despite the fact he experienced a loss in velocity. This was later revealed to be caused by right shoulder inflammation and went on the 15-day DL in April after compiling a 7.15 ERA in 14 games pitched. Francisco Rodríguez replaced him as the Brewers closer on Opening Day. On July 21, Henderson was transferred to the 60-day DL and ended up missing the rest of the season after having shoulder surgery in August.
2015
Still seeking to reclaim his lost velocity after his 2014 shoulder surgery, Henderson was outrighted off the Brewers roster on May 21, 2015. Henderson spent the majority of the season rehabbing. After the season, he became a free agent.
New York Mets
Henderson signed a minor league deal with the New York Mets on December 3, 2015. Henderson made the Mets' roster for Opening Day in 2016 after having an impressive spring training where he posted a 1.69 ERA with 13 strikeouts over 10 2/3 innings beating out Sean Gilmartin for the last job in the Mets' bullpen. On June 21, the Mets placed Henderson on the disabled list with tendinitis in his right biceps. On August 20, the Mets activated him from the disabled list and added him to the active roster. Henderson was outrighted to the minors on November 2, 2016. He elected free agency later that day.
On March 18, 2018, Henderson signed a minor league contract with the Milwaukee Brewers. He was assigned to AA Biloxi Shuckers for the 2018 season. He was released on November 1, 2018. A month later, he was brought back into the organization as a minor league coach.
