Henderson's 3-pointer gave the Rebels the lead and his two free throws with 21 seconds left produced a five-point Mississippi advantage, finally ending the Volunteers' upset bid.
Tennessee led for much of the contest, seizing a seven-point halftime advantage after holding the Rebels to 18 points in the opening period.
Mississippi stayed unbeaten in five Southeastern Conference games and is 16-2 for the season, having won eight in a row.
Henderson scored 28 points to lead the Mississippi comeback. Reginald Buckner was the only other member of the Rebels in double figures with 10 points.
Tennessee (9-8, 1-4) was paced by Jordan McRae with 26 points. The Rebels shot just 36 percent from the field, but they forced 21 turnovers while committing 11.