Number one Marek Stech, an ever-present last season, had to be replaced by goalkeeping coach Gareth Stewart just minutes into their third game of the season after suffering a broken finger.
Chris Dunn was added to the squad following his departure from Coventry and a deal was agreed for Wales international Hennessey only for the Wolves man to pick up a slight knock.
Manchester United loanee Sam Johnstone also suffered an injury during his sole appearance before returning to Old Trafford for treatment - meaning Johnson went back in for Hennessey before reflecting on a mad few days at Huish Park where his phone was red-hot.
"It was unbelievable," he told Press Association Sport. "That's how it is and that's why you have to be prepared. It is why we have a decent, small but hard-working network, (of scouts) and every week a different group of players become available, we are very good at keeping on top of that.
"You pick up a goalie (Hennessey) and think 'that was alright, we didn't have to make many phone calls to get him'. But there were a lot of calls to take because we are at a level now that people are happy to join us.
"So I had to take a lot of calls from goalkeepers who wanted to come here and we had to sift through them, there were some big names as well."
Hennessey made his debut in the 3-0 loss to Derby on Saturday and Johnson, who also worked with him during his time at Bristol City, is delighted with his latest loanee.
"He is a good lad," he said. "He is a very experienced and confident goalkeeper who has had Premier League as well as Championship experience.
"He has had some big games in his career and Welsh caps so the boys can look behind them and know there is experience there."