Henderson went to free throw line after he was fouled by Shaquille Johnson and connected on a pair of foul shots, breaking a 61-61 tie.
Ole Miss (17-2, 6-0 SEC) hung on for the victory when leading SEC scorer Frankie Sullivan of Auburn came up short on a 3-pointer at the buzzer.
Henderson finished with 15 points while LaDarius White netted 17 for Mississippi, which racked up a ninth straight win to improve on the best start in school history.
Chris Denson led the Tigers (8-11, 2-4) with 18 points.
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