Henderson toured with Mark Knopfler on his 2001 Sailing to Philadelphia Tour. In 2008, Henderson was one of the founding members of bluegrass group The SteelDrivers. He played mandolin, resophonic guitar and harmonica and co-wrote most of the band's original songs. The SteelDrivers' 2010 album "Reckless" was nominated for a Grammy Award for Best Bluegrass Album at the 53rd Annual Grammy Awards in 2011. Henderson left The SteelDrivers in December 2011.