The 21-year-old, who has already been out on loan to Colchester and Aldershot this season, has joined the Millers as cover for injury-victim Ryan Taylor.
Henderson told the clubs official website: "I was sat in the dressing room after a reserve game and the manager took me to one side and said Rotherham were interested.
"As soon as I had heard of the interest I was more than happy to join the club.I now just want to get out and play as soon as possible and show the fans what I can do."
Henderson could make his Rotherham bow in tonight's game at home to Accrington.
Source: PA