Mauresmo beat former Wimbledon champ Maria Sharapova 6-3, 3-6, 6-2, and Henin-Hardenne continued her recent dominance against fellow Belgian Kim Clijsters, 6-4, 7-6 (7-4).
"It is more about the nerve than the tennis at this stage and I'm very pleased with the way I handled it," Henin-Hardenne said.
"I just hung in there and I kept fighting," said Mauresmo. "I could have in that third set probably let it go because of the mental (thing) -- but it did not happen this way. It was not perfect, but it still was a win -- and a convincing one."
Mauresmo and Henin-Hardenne will face each other in the women's final Saturday.
Also Thursday, Martina Navratilova ended her Wimbledon career with semifinal defeats in both the women's doubles and mixed doubles.