Henderson lashed into an open goal after great work from Jamie Mackie, who reacted well after challenging Jake Kean.
The win means Forest record back-to-back league victories at the start of the season for the only the second time in 16 years and end a woeful run of form at Ewood where they had won just once since 1977.
Despite the frenetic pace, the game struggled in the way of clear cut chances, but Forest forced Kean into a smart diving save after 20 minutes when Jamie Paterson popped up on the left and unleashed a viciously curling effort that the Blackburn stopper did well to parry to safety.
For all their endeavour and energy, Blackburn found chances hard to come by and their first attempt, a looping Grant Hanley header, was easily gathered by Karl Darlow.
But Rovers should have been in front 10 minutes before the break when Jordan Rhodes met Alan Judge's curling free-kick but somehow headed wide from 12 yards.
Davies' side opened Blackburn up in the final minute of the half when Majewski released Henderson down the left. His cutback found the Polish midfielder and his 12-yard shot was destined for goal but for a fine headed clearance from Tommy Spurr.
Blackburn came out in the second half with much more purpose and the lively Judge was unlucky when he found space to fire through a flurry of players but his shot trickled wide.
But Rovers were almost undone by the most basic of build ups when Darlow's long clearance was beautifully controlled by Derbyshire but the former Rovers forward was thwarted by Hanley.
Moments later, Jason Lowe found space in the area but could only lash a half volley over.
The chances kept coming and after Hanley was penalised for a foul on Derbyshire, Reid almost marked his 300th career league start with a goal but his free kick curled agonisingly wide.
And Forest snatched a win they just about deserved in injury time when Mackie and Kean contested a long ball that the goalkeeper spilled. Mackie was alert and squared to Henderson, who hammered home from 20 yards.