Henin, who had won the German Open three times, was defeated 5-7, 6-3, 6-1 by 13th-seeded Dinara Safina. Henin had seven double faults and had her serve broken eight times by Safina, who had never even won a set in five previous career meetings with Henin.
Third-seeded Svetlana Kuznetsova was also knocked out in three sets, losing 1-6, 6-2, 6-2 to 15th-seeded Alona Bondarenko.
Williams, seeded fifth, improved to 21-1 on the year and 17-0 since a loss in the quarterfinals of the Australian Open in January with a 6-3, 6-1 pasting of 11th-seeded Agnieszka Radwanska.
No. 4-seeded Jelena Jankovic was a solid 6-2, 6-4 winner over Maria Kirilenko. Seventh-seeded Elena Dementieva beat Vera Dushevina 7-5, 6-3. And No. 10-seeded Agnes Szavay got by Marion Bartoli 7-5, 7-5. Also Thursday, Victoria Azarenka topped Gisela Dulko 6-3, 6-1.