The 2018 World Cup semi-finalists were defeated 2-1 by Spain on Saturday at Wembley. But they'll have the chance to get back to winning ways against Vladimir Petkovic's side at the King Power Stadium.
"We still feel confident, but we still feel like we are learning. You want to play against the best teams and the best players to learn from the experiences," Henderson said.
"It is very powerful to go out when the atmosphere is brilliant so we have to keep putting performances in to keep that spirit there. We have to keep working hard.
"There's still a long way to where we want to get to, but there are still positives to take even though we are disappointed with the final result."