Henderson made save after save as his team produced a resilient defensive display at Wembley to keep out Manchester City, memorably saving a penalty from Omar Marmoush.
The Palace No. 1 was in inspired form throughout to keep the most important clean sheet of his career so far.
After the game he paid a moving tribute to his late father, dedicating the win to him.
“I lost my dad at the start of the season,” he told BBC Sport. “But he was with me today. He was with me in every kick of the game.
“I dedicate that win to him.
“We were incredible today. We had a feeling it would be our day. The manager got a gameplan and we executed it. We deserve this so much."
Henderson also revealed he was surprised when Marmoush stood up to take City’s penalty, but that his inner-belief didn’t waver.
“To be fair, [Erling] Haaland might have stepped up. He gave it to Marmoush and I knew which way he was going. I knew I would save it.”
The Palace stopper had already survived a nervy moment in the opening 45 minutes, when narrowly beating Haaland to a 50-50 and fractionally remaining in his own penalty box.
"The ball carried into my penalty box and I knew it was fine - who cares?” Henderson added.
