Successive Group D defeats to Italy and Uruguay have consigned the Three Lions to a group-stage exit for the first time since the 1958 tournament.
Despite the opening two losses, Henderson insists that pre-match preparations remain the same ahead of facing already-qualified Costa Rica, and claims that restoring pride is top of the agenda in Belo Horizonte.
"We'll be approaching the game the same as we have the other two and that's to go out and win the game," he told FIFA.com.
"We'll not prepare any differently because we are out of the competition, we'll go out and finish on a high and get a win. We don't want to go home losing all three games.
"We want to show people how much we do really care and for everyone back home, give them some enjoyment in the final game. Give them something to shout about and put on a good performance."
Tuesday's encounter at the Estadio Mineirao kicks off at 4pm.