Brendan Rodgers' side have won six and drawn two of their last eight Premier League matches to leave them just four points behind leaders Chelsea.
Henderson has played a key role in the resurgence of Liverpool, leading to suggestions he could earn a place in Roy Hodgson's World Cup squad this summer, but his focus at the moment is on helping Liverpool to end the campaign in style.
"I think throughout the season we have been pretty consistent with our performances," Henderson told Weekend Warm-Up.
"We've been doing really well. We keep progressing every single week and improving all the time. We are in a good position at the minute. We still have a long way to go but I think we can finish this season off on a high.
"That shows just how well we've done really. I don't think many people would have thought we would be right up there at the top.
"We've worked hard on the training pitch and it seems to be coming together in a game, hopefully we can carry on doing that.
"There's a lot of confidence in the team and we are just looking forward to playing football every game.
"We always want to progress as a team, so finishing higher than last season is obviously progression. But at the same time we've done so well throughout the season we can set our sights even higher and we are all quietly confident and I think we can finish the season on a high.
"I just always try and do my best and just try and improve all areas. It's every player's dream to play in the World Cup."