All three players are carrying injuries after a 5-0 thumping against the Czech Republic at Wembley got the Three Lions' Group A campaign off to a flying start.
Henderson was expected to make his 50th international appearance in Podgorica but the Liverpool captain could be forced to miss the game with an ankle problem.
Southgate suggested he could name an unchanged side from England's demolition of the Czech Republic but was considering bringing in new faces even before fitness issues threatened to force his hand.
"There are a couple we need to check," he told a news conference on Sunday. "Jordan being one, in the morning. I think I will make some changes. Freshness can improve the team.
"The difference in some of the positions is so close in terms of who you'd pick, a fresher player may bring us more. I don't want to make heaps of changes, so I want the right balance.
"A couple of checks on Dele, who's missed a lot of football with a hamstring, Henderson with the injury he arrived with, Sancho a bit tight after the game. Nothing of a huge concern, but we want to make sure we are right."
England have never won in Montenegro, drawing on their two previous visits, with Kyle Walker the only player in Southgate's young squad to have made the trip.
A feisty atmosphere is likely and Southgate has asked the Manchester City defender to inform his team-mates what they should expect.
"It's something we've talked about a lot. Our undoing has often been a lack of discipline in matches," Southgate added.
"That is expected of this group now. They have to respond in the right way, stay calm in moments. A lot of times, going down to 10 men affects the result of games. We have to make sure we don't allow them that opportunity.
"Kyle Walker is the only player to have played in the fixture, so he spoke a bit in the meeting on Sunday about the experience to help the players prepare for what's coming so it's not a surprise.
"I expect all the players, even the younger ones, to show leadership in their own way. But [we need] to have the older ones setting the example in those tense moments.
"We have certainly witnessed flares on the pitch in the past and we've spoken about not going over to deal with those on your own. We have had those discussions.
"It's the referee's responsibility to deal with anything thrown on the field. We have to alert him to it. There is a danger in picking those things up to remove them yourself. We've made the players aware of that. Even the goalkeeper got that.
"It's really intense. A passionate local support. That's often the way travelling in Europe, playing qualifying ties."