Henderson was beaten by Morgan Gibbs-White just a few minutes into the contest against his former club.
But Palace rallied and improved as he first-half wore on, eventually claiming a point after Neco William’s handball gave Ismaïla Sarr the chance to equalise with a penalty.
The Palace No. 1 then had to be alert late on to deny Dan Ndoye a header from a tight angle which helped preserve a first point in three Premier League games.
And the skipper said he was proud of his teammates for pushing until the end.
"We had a great first-half,” he told Sky Sports. “We were the better team and created some good situations.
“The sending off gives you great momentum but it was disappointing that we couldn't find a way through.
"We had it a couple of times last season when they [the opposition] sit and it's attack versus defence. Sit in and don't give away, they did that well.
"I thought the lads did really well. They pushed to the last and it's important we have the lads in the dressing room that keep showing up for the badge.”
Despite a rough run of form last month, Henderson explained that the tricky period hadn’t impacted morale in the dressing room.
“It comes with professional football,” he added.
“We've got a lot of experience and we have to deal with it. We can build on this point.”