Henderson took his tally for the season to five after Chris Eagles had blown his chance to ease the pressure on Coyle.
Eagles went from hero to zero, crashing in a fine free-kick to cancel out Henderson's first-half opener for the hosts but then missing a penalty before Henderson struck again in the final minute to secure Millwall's first win in six.
It meant Bolton's unconvincing start to the season continued, and at the moment they do not look anything like a side set to challenge for promotion having dropped out of the Premier League last season.
The Lions, by contrast, did not look like a team destined to struggle despite their lowly position as they bossed the early stages.
They could have taken the lead in the eighth minute when a mistake by Stephen Warnock let in James Henry, but when his cross came in Matt Mills managed to get a foot in ahead of Chris Wood.
From the corner Danny Shittu used his ample frame to barge through a ruck of players and head Henry's cross into the net, but the goal was ruled out for a push on goalkeeper Adam Bogdan.
The hosts did get their noses in front in the 17th minute when Henderson scored from the edge of the area.
The striker's effort was slightly scuffed but a couple of deflections wrong-footed Bogdan and the ball eventually found its way into the net.
Bolton felt they should have had a penalty in the 23rd minute when Kevin Davies' goalbound shot appeared to be blocked by the hand of Lions new boy Mark Beevers, but referee Gavin Ward signalled for a corner.
As the first half drew to a close Lions keeper David Forde tipped Eagles' drive over and Wood headed inches wide.
But Bolton drew level just after the break when Liam Trotter fouled Mark Davies on the edge of the Millwall area, and Eagles blasted the free-kick through the wall and into the net.
Wanderers had given away a penalty in each of their last four matches and must have feared the worst when Trotter tumbled under David Ngog's challenge, but again Ward was not interested.
However, the referee did point to the spot just after the hour mark when Jimmy Abdou slid in on Eagles.
The former Burnley winger stepped up confidently, but blazed his penalty over the crossbar and with it went Bolton's chances of only their second away win this term.
Instead, they crashed to a fourth defeat on the road when Henderson got free down the left and drove his shot across Bogdan and into the net.
