The 23-year-old is following Scottish greats Graeme Souness (Sampdoria), Denis Law (Torino) and Joe Jordan (AC Milan and Hellas Verona) in Italy.
Henderson helped Hellas Verona return to the top flight last season, and is playing his first campaign in Serie A.
The midfielder cut his teeth with Serie B club Bari for six months, before the southerners were demoted to Italy's fourth tier after financial difficulties.
"Being the first player in over 30 years since Souness to play in Serie A is something that will stay with me forever," Henderson told AFP as he drinks an espresso coffee in Verona's historic Piazza delle Erbe not far from the city's Roman Colosseum.
It may seem like a culture shock for the player from Livingston, a new town west of Edinburgh, that dates back to the early 1960s, compared to Verona, a UNESCO world heritage site.
The only tenuous link with Italy being the Tony Macaroni Arena, or Livingston FC Stadium, sponsored by a Scottish chain specialising in Italian cuisine.
But Henderson feels completely at home, despite the frequent hankering for the Scottish soft drink Irn-Bru.
"I jumped at the opportunity," he said. "Italy suits my style of play a little bit more than playing in Scotland.
"It's more technical, you have to think a bit more here, it's not just about being strong and kick far and run fast.
"If you don't think, they can hurt you."
Henderson came through the Celtic youth system.
- 'Bit surreal' -
Loans to Norway's Rosenborg and Hibernian followed, helping Hibs win the Scottish Cup in 2016 for the first time in 114 years.
His two brothers are also footballers -- Jamie, 20, plays for the Livingston reserves, and Ewan, 19, for Celtic on loan to Ross County.
The former Scotland Under-21 international moved to Bari in January 2018 after being released by Celtic, the first Scot in Serie B since Jordan in the early 1980s.
"I met Joe Jordan here last year," he said.
"He was excited that there was another Scottish player in Verona where he had previously played.
"For me it was a bit surreal because he's a legend in Scotland."
Bari coach Fabio Grosso gave him an immediate start and he earned the nickname 'Braveheart with Brazilian feet' among fans.
Despite interest from other clubs he opted to follow former Italy World Cup winner Grosso to Verona after Bari's demotion, hoping to improve his game even further.
"I liked the way I was improving under him so that's what swayed me to come here and of course it's a beautiful city, it's got a great stadium, training ground is good. It's a wonderful place to live as well."
- Big step up -
His home now is lakeside at Peschiera del Garda and he has mastered the language after difficulties in Bari where a dialect is widely spoken.
The move up to Serie A has proved a big step.
Of his 31 games for Verona, only four have been this season under new Croatian coach Ivan Juric.
The club are in 13th position, on 19 points -- 23 points behind leaders Juventus with a game in hand, and six points above the relegation zone.
A lack of playing time could hamper his bid to catch the eye of Scotland manager Steve Clark.
"It's difficult, the standard is higher and the players that the coach has brought in have been playing really, really well and everyone is a top player, there's two top players in every position," he explained.
"Of course I want to play for my country, it's massive for me.
"I've not had any indication, maybe they don't want to get the flight to Italy to watch even though it's only two hours.
"I think it's because I'm playing in Italy, I don't know."
Henderson's driving ambition remains to emulate the Scotland careers of the likes of Souness, Law and Jordan.
But if not, he would consider trying to play for Italy.
"If I stay here for 5-6 years maybe I can apply for Italian citizenship and play for Italy," he pointed out.
"If Scotland don't want to take me then, why not?"
His first Serie A match against Bologna stands out but his "childhood dream" was achieved playing in the San Siro against Inter Milan.
For his club career Napoli would be his dream team "but if (Rangers manager) Steven Gerrard came looking for me I wouldn't say no."