The Palace 'keeper could win his fifth senior England cap when the Three Lions face Costa Rica on Wednesday evening (21:00 BST) in Orlando.
It's the final warm-up game for Thomas Tuchel's side before their tournament gets underway, coming just two weeks after Henderson lifted the Conference League on that glorious night in Leipzig.
And the Eagles' skipper says their experience of previously lifting silverware played a big part in giving his team belief they could go all the way.
Speaking to the Lions Den show from the England training camp, Henderson said: "It's incredible. Once we broke the seal and did it [winning a trophy] the first time, it made us hungry for more.
"When we got late on in the competition, in the Conference League, we felt like we'd been here before and we knew what it would take.
"When we turned up in Leipzig it was obviously a big game, a big occasion for the football club and the supporters.
"But I just knew deep down we had enough experience to get the job done and it was incredible."
