The Three Lions have beaten Switzerland and San Marino in their first two qualifiers and currently sit top of Group H.
"Estonia are a team who will be very difficult to beat, very organised, so we've got to go there and be at the top of our game to get a good result, like we were in Switzerland," the Football Association's official website quotes him as saying.
"We have to go into go into the game with the same mentality and preparation in order to get the three points that we want.
"They have had some good results, but we'll go into it confident, we have good enough players and a good enough team to go there and get a result and a good performance. That's what we'll look to do."
Henderson has been capped 16 times by England.