The in-form striker beat Coventry keeper Joe Murphy after receiving the ball from a surging Liam Trotter run on 53 minutes.
Trotter showed his strength soon after and again found Henderson, who let loose a left-foot shot into the top corner on 69 minutes.
In the 82nd minute, Trotter found Liam Feeney - sprinting free on the left - who calmly beat Murphy.
The victory makes it three consecutive wins in the Championship for the Lions - but Coventry remain in the relegation zone.
Millwall manager Kenny Jackett did not make changes to the side which recorded wins over Leicester and Ipswich, while the visitors made three, with starts for James McPake, Richard Wood and Gary Deegan.
In the second half, faced with the prospect of a fourth game without a win and their seventh defeat of the season, Coventry almost struck back on the hour, but Cody McDonald headed Carl Baker's free kick wide from the centre of the penalty area.
Henderson's 69th minute goal was barely distinguishable from his first - a well-placed shot from a Feeney delivery - and the latter's strike sealed the win, making it 10 goals in three games for the Lions.
Coventry have not won at Millwall since 1955 - but Sky Blues fans will be more concerned that they have not won on the road this season, and the performance earned a broadside from manager Andy Thorn.
Despite a faltering start to the campaign Millwall's ten-game run without a win is fading from memory, and they could still compete for a play-off slot.Continue reading the main story
I'm sick of hearing excuses and people having opinions that aren't right, I know what's right and the players will do what we say or they won't be playing.Andy Thorn Coventry manager
Millwall manager Kenny Jackett praised his summer signing saying: "Darius has made a great start to his Millwall career, he is in great form at the moment and has played very well for us so far.
"Every signing is a gamble and finding centre-forwards for the Championship is a big call. It is very tough and I would agree it was a risk.
"When I met him I was convinced he wanted to come back down south for family reasons and I felt that would help and he would be a lot more settled.
"He has given us a presence and a quality because he can bring people into play as well and when you get the ball in the box he is a threat."
Coventry boss Andy Thorn had a stark warning for his players, saying he was sick of excuses.
He said: "It was like two different sides were playing out there and when people start to think they are individuals you have got problems.
"Our second half performance was unacceptable - to turn in a performance like that was amateurish.
"We had a few chances in that first half, we felt comfortable and we felt we had more gears to go into. I'm sick of hearing excuses and people having opinions that aren't right, I know what's right and the players will do what we say or they won't be playing."