The 24-year-old started both of England's defeats to Italy and Uruguay alongside Liverpool team-mate and captain Steven Gerrard but was helpless as the Three Lions were knocked out of Brazil in the group stages.
Roy Hodgson's side now face a dead rubber against Costa Rica, who have already qualified for the knockout stages after beating both Italy and Uruguay.
And, ahead of the clash, Henderson has admitted his bitter disappointment at England's predicament but insists the squad will learn from the experience.
"It's been really disappointing and I'm sure there'll be days, whether it's in a week or in a month, or even in a few months, when you'll wake up and it'll come back into your head and you'll be really disappointed again," the Reds midfielder said.
"But at the same time, what doesn't kill you makes you stronger and you've just got to keep going and learn from the experience as best you can.
"It's hard to sum it up - I'm sure everybody at home is feeling really down. For us here, being a part of it and being a part of the actual team that can go on and show what we're about, we feel as though we've let a lot of people down.
"But I think we've shown people how well we can play in a big tournament with young players coming through the system and getting the chance to play on the world stage. I thought a lot of them have done really well."
Hodgson has been criticised in some quarters for his deployment of Henderson in Brazil, with the 24-year-old being made to sit in midfield alongside Gerrard, with minimal support from those ahead of him.
In comparison with his England team-mates, though, Henderson has fared relatively well.
|Interceptions Won||Tackles Won||Accurate Passes||Dribbles Won||Mins|
As Opta stats show, the Three Lions' collective midfield showing has been nothing to write home about - but of those to put on the shirt this summer, Henderson cannot be made a scapegoat by any means.
Indeed, the Liverpool man won more interceptions than any other midfielder, as well as making more accurate passes - although he did play more minutes than Ross Barkley, Adam Lallana and Jack Wilshere.
Still, Henderson is capable of far better and Reds fans will hope he returns to the form he has shown under Brendan Rodgers next season.