Jurgen Klopp's men were unable to maintain a challenge for the Premier League title last season, while they also suffered defeat in the EFL Cup semi-finals.
However, Liverpool were able to hold off Arsenal to secure a top-four finish and Henderson believes they made plenty of progress which they will aim to build on next term.
"Everybody was over the moon that we got in the top four. Now we have got to go and win the play-off to actually get into the group stages of the Champions League," Henderson told the club's official website.
"Of course we would have liked to win something as well but you have got to take one step at a time and that is a big achievement. Since I have been here, we have only been in the Champions League once. It is a good step in the right direction for us and it will help us develop as a squad.
"We are getting better and we are improving in all aspects of the game. We are becoming more mature as a team and improving on the training pitch, listening to what the gaffer has got to say on how we can improve as a team and individuals.
"Everybody has taken that on board throughout the season and everybody has been working really hard. And you get your just rewards at the end of the season, with getting the top four."