Henderson, the Lions' top scorer with 19 goals last season, netted his first of this campaign to ensure the London club bounced back from their home defeat to Blackpool on the first day of the Championship season.
Millwall came from behind to take the points at London Road on Tuesday night after Scott Malone had cancelled out George Boyd's opener for Peterborough, who have lost both of their opening league matches.
Posh boss Darren Ferguson again named an unchanged team.
After seeing his side thrash Southend 4-0 in the Capital One Cup last week, Ferguson stuck with that line-up against Leicester on Saturday.
Posh were beaten 2-0 at the King Power Stadium but Ferguson kept faith with the same players and gave them a chance to redeem themselves.
Millwall made three changes. The injured Jack Smith and Darren Ward were absent from the squad beaten 2-0 at home by Blackpool at the weekend, while fellow defender Danny Shittu dropped down to the bench.
Alan Dunne and Karleigh Osborne came into the Lions' backline and Nadjim Abdou started in midfield.
Boyd missed from close range early on but made amends in the 11th minute when he turned 12 yards out and fired a left-foot shot into the bottom right-hand corner.
Millwall had most of the ball afterwards and Andy Keogh, Josh Wright and Liam Trotter had efforts on goal without really troubling Robert Olejnik in the Peterborough goal.
Lee Tomlin replied for Posh with an effort from the edge of the area as it looked like the hosts would go into half-time ahead.
However, the Lions deservedly equalised two minutes before the break.
The ball was deflected into the path of Malone who blasted a shot beyond Olejnik from the left side of the six-yard box.
Olejnik produced a good parrying save to deny Henderson at the start of the second half.
James Henry saw a shot hit a post after 54 minutes as Millwall had their tails up.
Olejnik then had to deny Keogh with his feet soon afterwards.
At the other end, Maik Taylor was called into a rare piece of action to keep out Craig Alcock's 18-yarder on the hour mark.
It was no surprise when Millwall went ahead four minutes later.
Keogh held up a long ball forward and laid it off to strike partner Henderson who struck it home from 12 yards out.
The margin of victory was almost increased with 10 minutes remaining but Henry hit the woodwork once more, this time striking the crossbar from long range.