Henderson started his career at Reading, making his debut as a substitute in March 2000, in a 3–0 loss to Burnley. After a further two substitute appearances he made his first start, in a 2–1 victory over Wycombe Wanderers in April, although he was substituted at half-time. He made a further two appearances that season.

Despite his spell in the team towards the end of that season, he was limited to six appearances in the 2000–01 campaign. However, he became a regular in the Reading side in Division Two. His first League goals came in a 4–0 win over Luton Town, in which he scored twice. He made a further 24 appearances for Reading in the 2002–03 season, mostly in the latter part of the campaign, scoring four goals, but was loaned out to Brighton & Hove Albion for the start of the 2003–04 season for whom he scored two goals in ten games in a two-month spell. He made what was to be his final appearance for Reading in November 2003, before being sold to Gillingham for a nominal fee in January 2004. He had scored 11 goals in 71 games for Reading.

In July 2008, Henderson signed a 4-year contract with Sheffield United after a fee of £2 million was agreed, with the possibility of further payments depending on appearances. He made his debut for the Blades in a 1–0 away defeat on the opening day of the season against Birmingham City. He scored his first goal in Blades colours at the end of August, away at Huddersfield Town in the second round of the League Cup. Although a regular starter he missed a number of matches through injury and suspension, scoring only 6 more goals in the 2008–09 season.

The following season, he was again favoured as the Blades main striker and netted twelve times before once again being hit with an injury that would eventually keep him out for almost twelve months. Henderson returned to the Blades first team in March 2011 but was red carded during his first game back, and made only eight appearances that season, scoring two goals, as the Blades slipped to relegation.

On 22 October 2011, Henderson scored a hat-trick against Leicester City. The game ended 3–0 to Millwall and earned the team valuable points to steer them out of the relegation zone. Henderson scored his second and third hat-tricks for Millwall within a week, in a 5–0 FA Cup win over Dagenham & Redbridge and a 3–1 away win at Barnsley. He followed this up, scoring the equalizer against Southampton in an FA Cup fourth round tie. This goal took his tally for his season to 16, from 22 matches. It was also his 100th professional goal. During the close-season, Henderson was reportedly being chased by several Championship rivals but Kenny Jackett was keen to keep him.

On 1 January 2012, Henderson was arrested on suspicion of causing GBH. He was alleged to have punched a customer in a restaurant where Henderson and his girlfriend were eating after the customer had tried to intervene in an argument between Henderson and another woman. He was found not guilty after a jury trial at St Albans Crown Court in February 2014.

Henderson joined Nottingham Forest in January 2013, agreeing a short-term deal to run until the end of the season, after Millwall agreed to allow him to leave on a free transfer to help cut their wage bill. In June 2013, Henderson agreed a further two-year deal with Forest, with an option of a third year.

On 1 August 2014, it was announced that Henderson had signed a three-year contract with Leyton Orient.

On 24 July 2015, Henderson joined Scunthorpe United upon his expiry from Leyton Orient.

On 5 February 2016, Tony Mowbray confirmed Henderson had signed for Coventry City..

Henderson joined Mansfield Town in August 2016. He scored his first goal for Mansfield in a 3–1 win against Notts County on 8 October 2016.