Henderson will captain the side for Wednesday night's Euro 2013 qualifier against Belgium in Middlesbrough, where a win will ensure them top spot in Group Eight and a place in the play-offs.
The 21-year-old midfielder was one of several Liverpool players to leave a joyful dressing room at Wembley following their penalty shoot-out win and head immediately out on international duty, arriving in his native north-east late on Sunday night.
While the emotions of Sunday are still running high, Henderson insists his focus is on the next job in hand.
"This is a massive game for the Under-21s, and as captain of the side I need to lead by example," he said.
With regular Under-21s boss Stuart Pearce taking charge of the senior England team against Holland at Wembley, Brian Eastick will take the reins at the Riverside, assisted by a coaching staff that includes Everton's Phil Neville as he gains some valuable coaching experience.
But Henderson insists it has been business as usual even without 'Psycho' around.
"It hasn't been much different to be honest," he said.
"Obviously Stuart is a great role model to people but we're professionals and we can do it ourselves.
"Brian's been around for every game I can remember so it's not much different."
While Pearce called on the likes of Fraizer Campbell for his senior squad, the once-capped Henderson had to make do with another turn of duty at youth level.
Although he is itching for another chance with the senior team, Henderson shrugged off any disappointment to focus on Wednesday's task.
"I don't think it was on my mind, to be honest," he said of a senior call-up.
"I knew we had an important game on Wednesday with the Under-21s and I was focused on that.
"Obviously everyone wants to play in the senior team, and I'm no different. But this is a big game for the 21s, I'm captain and I'm looking forward to it."