Cika wannan jumla: A ranar 9 ga Afrilu, 1940, sojojin Jamus
sun mamaye kuma sun mamaye Denmark. A lokacin mamayar Jamus, ya kasance mai hankali amma ya yi ƙoƙari ya ci gaba da ruhun ta hanyar shayari na juriya. A cikin 1940, Henningsen ya ba da gudummawar waƙar ga bita na Kjeld Abell "Dyveke", wanda ya yi kira ga juriya ga 'yan Nazi a cikin hanyar da masu binciken Jamus suka fassara a matsayin waƙar game da ƙuntatawa na aure. Kafin 'yan Nazi su iya tura shi zuwa sansanin fursuna ko kuma su sa shi cikin haɗari, ya bar Denmark a asirce tare da yawancin Yahudawa Danes a shekara ta 1943. Ya tsere zuwa Sweden mai tsaka tsaki tare da Bayahude masanin gine-gine Arne Jacobsen da matansu a cikin jirgin ruwa wanda wani masanin injiniya Bayahude da ɗalibin jirgin ruwa mai suna Herbert Marcus ya jagoranta.