In the 2014–15 season, Henshaw spent more time with the Irish team so did not feature as much for Connacht. He played 12 times in the league, starting each time, and scoring a try against the Cardiff Blues. In Europe, Connacht took part in the 2014–15 Challenge Cup, the second tier competition. Henshaw started four of the team's six pool stage matches, scoring two tries against La Rochelle, and the quarter-final against Gloucester. He also started in Connacht's final game of the season a play-off for the final spot in the 2015–16 Champions Cup. Connacht again faced Gloucester away, and were leading 18–25 in the final minutes of the game, but a controversial penalty decision from Romain Poite gave Gloucester a try-scoring opportunity and sent the match to extra time, after which Gloucester emerged 40–32 victors, Henshaw having played the full 100 minutes.