England are in a strong position with three victories from three in qualifying.
Henderson said: "The whole campaign has gone really well.
"Alex Oxlade-Chamberlain was brilliant for us in Iceland and has been superb in every game he has played for the Under-21s. I was delighted he scored a hat-trick over there last week.
"As captain, I'm enjoying it. I make sure I do the best job I possibly can."