Spain took the remarkable step of sacking manager Julen Lopetegui just one day before the start of the tournament and two days before their own campaign gets underway with a testing opening match against Euro 2016 champions Portugal.
Lopetegui's agreement to take over at Real Madrid after the tournament without informing the Spanish FA caused the unprecedented decision, but Henderson is wary of a response from the 2010 champions.
"It's shock obviously, especially a day before the World Cup starts. But to be honest, they're a world class team," Henderson told talkSPORT.
"They've got fantastic players. I'm sure they'll still be a threat. If anything it could make them even stronger and stick together."
Spain's players failed with a late attempt to prevent the FA from sacking Lopetegui, who was unbeaten from his 20 matches in charge.
The team are still regarded as favourites to come out on top in their opener against Portugal in online sports betting markets.