Roy Hodgson's side produced an encouraging display and attacked at every opportunity throughout the match.
But Italy, with the imperious Andrea Pirlo dictating play, took their chances during their spells of domination in the match.
England go into their next game with Uruguay on Thursday needing a victory to have a realistic chance of progressing beyond the group.
And Liverpool man Henderson reckons a similar performance in their next match should reap rewards for England.
"Everybody is disappointed, but I still think there are a lot of positives to come out of it," Henderson said.
"What we will do is keep confident, keep believing and look forward to the next game.
"I felt as though we gave it everything, worked really well as a team.
"Going forward, I thought we were brilliant, especially in the first half. I thought we counter-attacked really well and obviously got the goal.
"In the second half I thought we dominated with the ball, dominated with possession and penetrated with the passing and runs in behind, with a few chances.
"Like I say, it was disappointing but we gave it everything we had."
Henderson’s Liverpool team-mate Luis Suarez was an unused substitute in Uruguay’s 3-1 defeat to Costa Rica, following recent knee surgery.
And Henderson concedes he would be happier if Suarez is not fit to play against England at the Arena de Sao Paulo.
"If Luis doesn't play, it is obviously a positive because he is a fantastic player," Henderson said.
"But I am sure he is chomping at the bit and doing everything he can to be fit for the game."