On television, Henderson starred with Robert Carlyle in the BBC series "Hamish Macbeth" (1995–97). She also played Frances Drummond in the BBC drama "Happy Valley" (2016). She was nominated for the BAFTA TV Award for Best Supporting Actress for the Channel 4 miniseries "Southcliffe" (2013). In 2018, she won the Olivier Award for Best Actress in a Musical for her role as Elizabeth in the original production of "Girl from the North Country".