The Reds sit top of the Premier League table after three fixtures, with Brendan Rodgers' side boasting the only 100 per cent record.
The Anfield outfit have gone four-and-a-half years since they were last perched at the summit, and the challenge now is to build on the foundations they have put down.
Henderson believes they can do just that, with confidence having soared on the back of a perfect opening which has included a 1-0 victory over arch-rivals Manchester United.
He said: "We've got a lot of momentum after the first three games of the season.
"Beating Manchester United gave us a great boost and it kept the winning mentality and the momentum going.
"But we know that it's going to be difficult in our next few games, starting with Swansea, so we'll have to keep focused and hopefully we can keep putting in the performances.
"There's always room for improvement and I'm sure we'll work on that. But we've got to be pleased with the three results."
While Liverpool as a team have burst out of the blocks, Henderson believes he has also taken his game to a new level under Rodgers' careful guidance.
He added: "I feel as though I've progressed over the last year or two.
"The manager has been brilliant with me on a personal level, and with everybody else here.
"I've improved since he's come to the club and he's helped me to do that."