Rickie Lambert, returning from a three-game ban, put the visitors ahead before the interval but the Lions fought back to claim a late leveller as Henderson followed up consecutive hat-tricks with his 16th goal of the campaign.
The hosts almost got off to a flying start when Liam Feeney fired goalwards from 10 yards but his shot rattled Bartosz Bialkowski's upright.
Saints failed to heed the warning and were almost undone in the ninth minute when James Henry's searching corner found Harry Kane at the far post and he lifted his shot over from close range.
A combination of Aaron Martin's dogged defending and a smart stop from Bialkowski denied the in-form Henderson moments later as he tried to steer home a long-range effort.
With 20 minutes on the clock Nigel Adkins' side finally created a chance of their own, Martin heading over from Daniel Fox's corner.
Lambert then lifted a a 25-yard free-kick narrowly over the bar as the visitors started to get a foothold in the game following a slow start.
They made their increasing dominance count with a brilliantly-crafted opening goal in the 30th minute. Ben Reeves played in Dan Harding down the wing and his flighted cross was headed in by Lambert for his 18th of the season.
Having failed to make their promising start in the first half pay dividends, Millwall looked to get on the front foot early in the second.
Liam Trotter advanced unopposed before unleashing a powerful strike from just inside the area but Bialkowski was equal to the challenge.
Japan striker Tadanari Lee was introduced from Southampton's bench just past the hour mark for his debut after joining from Sanfrecce Hiroshima earlier in the week.
His eagerness to make an impression saw him concede a free-kick for a foul Tony Craig but the Lions passed up the opportunity to deliver the ball long and Trotter's set-piece came to nothing.
With time running out the home side did begin to show more urgency and they forced a series of corners and saw Chris Hackett's 20-yard drive flash just over.
Southampton had a chance to put the result beyond doubt when a swift counter-attack found Lee Holmes in space with the option to square it for Lambert but he opted to shoot and then headed wide from Lambert's follow-up.
They were made to pay when Henderson collected Feeney's pass and held off two defenders before turning to fire in the equaliser with four minutes left, making it his seventh goal in as many matches against Southampton.