The Reds edged a thrilling contest at the King Power Stadium on Saturday evening - the second meeting between the two sides in four days - thanks to goals from Mohamed Salah, Philippe Coutinho and Henderson.
Liverpool twice found themselves two goals up, but they required a penalty save from Simon Mignolet to ensure that they returned to Merseyside with all three points to end their four-match winless run.
Speaking to BT Sport after the game, Henderson said: "I felt as though we defended well for the majority of the game. We played some brilliant stuff, especially in the first half.
"Coutinho is a fantastic player. He produces magical things at crucial times of the game. This will give us good confidence going forward."
Liverpool, who are now fifth in the Premier League table, return to action in midweek with a trip to face Spartak Moscow in the Champions League.