Stuart Pearce's team went to Israel having kept a clean sheet in nine consecutive games, but were undone by a Lorenzo Insigne free kick on Wednesday night in Tel-Aviv.
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“I didn’t think we played as well as we could have to be honest,” Henderson told Sky Sports after the match.
“We've got to pick ourselves up now, we've still got two games to go so we've got to take the positives from that.
“There's two games left and we want to win both of them to get out of the group, it doesn't really matter how we do it. We'll be ready for the next game.”
England twice had the ball in the back of the net only for the goals to be disallowed, and Henderson was “baffled” by some of referee Antony Gautier's decisions.
“[We're a] little bit disappointed that our goal wasn't allowed, I think it might have been a different game [had it been],” the 22-year-old continued.
“I didn't see anything wrong with it. I still don't know why it was disallowed, you'll probably have to ask the referee, but I wasn't very happy with the decision to be honest.
“I thought the referee was pointing at the kick-off spot, it was a good few minutes before they took the free kick and I think everybody was a bit baffled to be honest. But that's football.”