The reigning European champions travel to Anfield on Wednesday for a Group B clash, with Ronaldo and Bale just two of the stellar names expected to line up against the Reds.
However, speaking to the Daily Mail, Henderson insists that the visit of Los Blancos holds no fear for he and his teammates.
"I was pleased when the draw was made because you want to be playing against best teams," he said. "Real Madrid were the best team in Europe and have the best players too.
"Facing the likes of Gareth Bale and Cristiano Ronaldo can only make you improve and help your own game.
"It is a big game for us and a big test. But we'll go into it and play without any fear."
Wednesday's clash on Merseyside is scheduled to get underway at 7.45pm and will be covered live on Sports Mole.