The former Manchester United stopper was key to Palace's victory at Selhurst Park, where he earned a Flashscore player rating of 9.0.
Henderson made seven saves in the win, including a penalty stop to deny Wolves' Tolu Arokodare before half-time.
He also made saves against Jean-Ricner Bellegarde and Santiago Bueno en route to keeping a 10th clean sheet of the season.
Palace next host Bosnian side Zrinjski Mostar on Thursday in the second leg of their Conference League knockout play-off, with the tie level at 1-1.
They then return to Premier League action on Sunday, travelling to play in-form Manchester United.