Henderson sent goalkeeper Jordan Archer the wrong way at the death to seal Dale’s first ever victory away at Millwall.
Callum Camps gave Rochdale an early lead, before Aiden O’Brien levelled almost straight from kick-off. O’Brien then went down under Niall Canavan’s challenge inside the area, with Lee Gregory stepping up to put the home side ahead.
Andrew equalised with a powerful header midway through the second half, before Ben Thompson was dismissed for a second yellow card for the home side.
With the game seemingly heading to a stalemate, Steven Davies was fouled inside the area in injury time, and Henderson stepped up to grab a memorable three points for Dale.
Keith Hill made two changes from the victory over Fleetwood Town last weekend. Jim McNulty and Peter Vincenti missed out, and were replaced by Niall Canavan and Calvin Andrew.
The early exchanges were even as both sides had efforts at goal. Shaun Williams dragged an effort wide from distance, before Matthew Lund tried to catch Jordan Archer off his line after a poor clearance, but the goalkeeper recovered and collected the shot.
Archer would be beaten in the ninth minute, as Camps gave Dale the early lead. Joe Thompson’s run from right back was found and he picked out the late run of Camps just inside the area. He steered the ball home first time with an excellent finish for his second of the season.
However, almost straight from kick-off Millwall equalised. Gregory broke behind the Dale defence and squared to O’Brien, who tapped home into the empty goal.
The whirlwind start continued and in the 18th minute, the hosts were awarded a penalty after a Canavan was adjudged to have brought down O’Brien. He was booked, and Gregory calmly slotted the spot-kick down the middle to turn the game on its head.
The game quickly reverted back to its even pattern after the frantic ten minute spell. Camps glanced an Ian Henderson cross just wide of the post, whilst Steve Morison’s volley from distance dipped but still flew over the crossbar.
Lund had a chance inside the area after a clever knock-down from Andrew, but the ball sat up on him, and he sent a difficult effort over the Millwall goal.
Josh Lillis showed good reactions to block Morison’s shot just before half-time and collected the ricochet, before McDermott’s effort from distance rose over the crossbar.
In the dying embers of the half, McGahey was replaced by Joe Rafferty due to what appeared to be an injury. Keith Keane dropped into defence for the second half.
Lillis made a good save with his feet four minutes into the restart, when substitute David Worrall broke into the area.
Steven Davies replaced Donal McDermott shortly afterwards, and he made a great impact.
Morison flashed an effort wide for Millwall, but it was Archer who had to make a great save to deny Davies’ acrobatic effort. A corner bobbled around in the area and whilst Davies was still on the floor, he hooked the ball over his shoulder, but the goalkeeper flung to his left to turn it around the post.
Sanmi Odelusi replaced Thompson with Dale’s final change, shortly before Davies headed Bunney’s cross straight at Archer.
However, Archer would be beaten by an Andrew header midway through the half to restore parity. Bunney’s free-kick was met by Andrew who rose highest, and he powered a header beyond the goalkeeper in front of the 206 travelling Dale supporters.
The situation would get even better for Dale as Thompson was sent off for Millwall with 17 minutes to go. He went in strongly on Lund and having already been booked, was given his marching orders for a second yellow card.
Henderson sent a curling effort on goal which Archer collected, but the home side reacted well to going down to ten men, and had a goal ruled out for offside late on when Fred Onyedinma tapped home Morison’s pass.
Camps sent an effort wide from outside the area, but Dale would have the perfect chance to grab a win from the spot.
Davies was felled inside the area, and Henderson calmly slotted the penalty kick into the corner to claim all three points in injury time.
Dale held out for the final minutes under pressure from the home side, and claimed back-to-back wins, with Bolton to come at the Crown Oil Arena on Tuesday.