Henderson, 35, secured a big money move to Saudi Pro League club Al-Ettifaq back in 2023, joining former Liverpool teammate Steven Gerrard, who was manager at the time.
The move earned intense scrutiny back in the UK after he agreed to play in a nation where same sex relationships are banned having previously being a vocal supporter of LGBTQ+ rights.
Now back in the Premier League with Brentford, Henderson admitted that he might have “made different decisions” in hindsight.
In an interview with the BBC, he said: "I don't think it (moving to Saudi Arabia) was the reason why I missed the Euros. When I was in Saudi I think I was in every (England) camp prior to the Euros.
"Timing, with everything in hindsight, yes - maybe I would have made different decisions. But at the time that's how I felt and the decision I made was for many different reasons and only I know them reasons.
"I am not going to lie, over the past couple of years I have had some tough moments. It felt like a break-up when I left Liverpool. Of course I'm not perfect and I've made mistakes in the past. Of course I will have throughout my career.
"But all I've ever tried to do is the right thing."