Skipper Gavin Mahon gave the Hornets a perfect start on three minutes when he capitalised on poor defending to score.
Henderson had chances to double the lead before tapping in Marlon King's cross on 68 minutes and the pair combined again four minutes later.
A close-range header killed off the game and Peter Madsen's late goal did little to lift the gloom at St Mary's.
Watford manager Adrian Boothroyd:
"This is exactly where we wanted to be.
"The promotion race is reaching a crucial time and I like to think we are reaching our peak at the best moment with a handful of games to go.
"At this stage of the season you talk about character and resilience as qualities and that is what we showed."
Southampton: Smith, Ostlund, Kenton, Higginbotham, Brennan, Baird, Chaplow (Jones 45), Wright (Kosowski 80), Surman, Rasiak, Madsen.
Subs Not Used: Miller, Blackstock, Cranie.
Goals: Madsen 85.
Watford: Foster, Doyley, DeMerit, Mackay, Stewart, Eagles (Bangura 67), Mahon, Spring, Young, Henderson (Chambers 90), King.
Subs Not Used: Chamberlain, Carlisle, McNamee.
Booked: DeMerit.
Goals: Mahon 3, Henderson 67, 72.
Att: 19,202
Ref: I Williamson (Berkshire).