The former Liverpool captain, who moved to Saudi Arabia and then Ajax this season, has missed out on a call-up for the tournament in Germany.
Despite being 33 and no longer at his peak, Henderson was a favorite of Southgate's until very recently.
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"He is a fantastic professional and it was a difficult call to make," Southgate said during his squad announcement.
"He'll be a miss. He's an exceptional individual and fantastic human being.
"The determining factor is the injury he picked up in the last camp. He missed five weeks and he just hasn't been able to get to the intensity in the games since then."