Leicester started confident of recording their first back-to-back wins in more than a year in the wake of last week's sparking 4-1 win at West Brom.
But, instead, they ended the afternoon with only goal difference separating them from a relegation spot, while Hull's continued charge lifted them to just two points from an automatic promotion place.
Hull should have gone in front on 14 minutes when Fraizer Campbell latched on to Henrik Pedersen's through-ball only to shoot wide from eight yards when pressurised by Gareth McAuley.
Henderson pulled off the first of a string of fine saves on 28 minutes when he dived smartly to his left to keep out Neil Clement's 30-yard free-kick.
Soon after, the Australian keeper came to Leicester's rescue again when he got down swiftly to smother Dean Windass's fiercely struck shot, after his defenders had failed to cope with a Sam Ricketts long throw.
But Henderson was beaten just before the break when Campbell's cross was diverted by McAuley to Dean Marney, who drove home from six yards.
Henderson prevented Hull from doubling their lead just before the break with a sprawling save to keep out Andy Dawson's free-kick.
After the restart, Henderson pushed aside Clement's angled drive before the Leicester keeper gifted Hull the opportunity to wrap up the game. When Campbell broke into the box in 65 minutes he was heading away from goal, but Henderson gave away an avoidable penalty when he charged from his line and clearly barged over the Manchester United loan star. Henderson escaped with a yellow card, then atoned for his rash challenge by diving to his right to keep out Marney's penalty.
But the momentum which might have been handed to Leicester by Henderson's heroics vanished on 76 minutes. Clement sent Caleb Folan racing clear and the substitute cleverly guided a low shot inside Henderson's far corner, with Joe Mattock and Patrick Kisnorbo vainly appealing for an offside flag.