Henderson has worn the armband while Steven Gerrard, who is leaving Anfield for the MLS this summer, recovers from a hamstring injury.
Liverpool have not lost any of the 13 matches in which Henderson has been captain and Lallana believes his extra responsibily has been reflected in his current form.
“He is unbelievable,” he said. “He has matured as a player over the last two seasons and he has kicked on another level even with the armband.
“I was lucky enough to be captain at Southampton and it does give you that little bit extra and it seems it is doing the same to him.???
As for Liverpool???s upsurge in form, Lallana added: “It is great to be playing with such good players and the results are on the up.
“We have a great rhythm and a good bit of consistency and are keeping clean sheets as well. We’ve turned a corner since Christmas and we are really looking good.
“We have players back fit and we have found a system, we are playing really well and are causing teams problems.
“Confidence is a big thing in any team and we have that in abundance and I think it is showing.”