Henserson bagged two goals in three minutes in the first half, adding a third after the interval. Jimmy McNulty grabbed a consolation goal late on for the hosts.
Millwall started brightly, looking to dispel the memory of their 6-0 loss at the hands of Birmingham City last week.
Liam Feeney came close after just three minutes but was denied by a good save from Luke Steele following Hameur Bouazza's free kick.
The Lion's breakthrough came shortly after the half-hour mark when Tottenham Hotspur loanee Harry Kane was brought down in the box by Miles Addison.
The referee didn't hesitate to point to the spot and Henderson made no mistake to make it 1-0 to the visitors.
They didn't have to wait long for their second as Henderson doubled his tally, pouncing on a good chance just three minutes after opening the scoring.
Both teams battled throughout the second half looking for an all-important third goal of the game, but it was the away side who got it.
Henderson's strike was too good for Steele, flying past the keeper before he could react, completing the Millwall striker's hattrick.
Barnsley bagged a consolation goal late on through a Jimmy McNulty strike from outside the box, but it was Millwall who came away with all three points.