The German won gold in the women's 15-kilometre event, completing the Soldier Hollow course in 47 minutes, 29.1 seconds, after one penalty minute for one missed target.
Liv Grete Poiree of Norway took silver in 47:37.0 after also missing one target.
Sweden's Magdalena Forsberg, the pre-race favourite, won the bronze - her first Olympic medal in a distinguished career - in 48:08.3.
Henkel, competing in her first Olympics, was shocked by her success.
"I've been on the podium several times in World Cup races, but it is so great to medal in my first Olympics," the 24-year-old soldier said.
"I was surprised with my result because I didn't think I skied very fast, but I'm happy that I only missed one shot.
"I wanted to take it easy in the beginning and have a good first race," she added.
Henkel's victory was only confirmed when Forsberg, one of the last to start the interval race, narrowly missed two targets in her last round.
"I had some problems with my skis in the beginning, but in the end it turned out fine"
Silver-medallist Liv Grete Poiree
Despite that setback, Forsberg was more than pleased with her efforts which saw her snatch bronze from the Ukraine's Olga Pyleva at the death.
"I feel fantastic. It just feels so wonderful, everything went so well," she enthused.
"I did very well except for the two shots that I missed.
"It was my shaky legs that made me miss because it was a standing shoot. I was a bit tired and of course the pressure got to me."
Silver-medallist Poiree was also delighted with her display.
"I had some problems in the beginning with my skis, but in the end it turned out fine. I'm very happy with the silver medal," said the 27-year-old.