The opening four sets in Henderson's first round 2015 World Championship match against Vincent van der Voort went with throw to send it into a deciding set. Van der Voort hit a crucial 157 finish with Henderson waiting on 80 for the match and from there the Dutchman won back-to-back 14 dart legs to knock him out. A pair of last 16 finishes helped Henderson enter the UK Open at the third round stage and he eliminated Steve Douglas 9–7 and then retained his composure when Daryl Gurney won five legs in a row to lead 8–7 by beating him 9–8. This matched Henderson's best ever run the event, but it came to a sudden end when he lost 9–2 against Peter Wright. At the German Darts Masters, Henderson defeated Michael Smith 6–4 and then averaged 102.48 in a 6–0 whitewash over Andrew Gilding. He improved upon that in the quarter-finals by averaging 107.72 during a 6–1 victory against Brendan Dolan and knocked out Adrian Lewis 6–4 to reach his first PDC final. Henderson played world number one Michael van Gerwen and he sent the match into a final leg decider, after being 3–0 down, which he lost without getting a dart for the title. He suffered first round exits at the World Matchplay (10–2 to Phil Taylor) and the World Grand Prix (2–0 in sets to Gary Anderson), but then defeated Robert Thornton 6–4 at the European Championship. Henderson then took advantage of a poor performance from Rowby-John Rodriguez in the second round to thrash him 10–2 and reach his first major quarter-final in over four years, where he lost 10–4 to Peter Wright.