Henderson joined Marc Guéhi as the only Palace captain to lift major silverware after he kept a clean sheet against the Spanish side.
The Palace 'keeper only took the captaincy in January. But as ever he was first to praise the job done by his teammates after a monumental effort secured a first European trophy, in our very first continental campaign.
"These boys, honestly, they amaze me," he told TNT Sports and former teammate Joel Ward. "It's very special tonight. Obviously, it's our 60th game and they've ran around all year.
"We've had some difficult times through the season, but on nights like this, the boys have delivered.
"Honestly, it's incredible. You can't give up and these are special moments with special people as well.
"These are memories that will last a lifetime. I've got my family out here as well... it's incredible. I'm just trying to soak it all in."
> The Manager has been incredible
>
> —Dean Henderson
It wasn't the busiest night of Henderson's Palace career to date. But when was called upon, he brought a cool, calming presence, commanding his box whenever needed.
In the Eagles' 17th European game of the season, the captain said that actually lifting the trophy allowed him to feel that a weight had been lifted from his shoulders.
He also said the triumph was a fitting send-off for outgoing Palace Manager Oliver Glasner, who leaves an incredible legacy behind.
"There's a mixture of emotions," Henderson added. "It's like a weight lifted off your shoulders, obviously, because you want to deliver when you're under pressure. I had no doubt that the boys would do that today.
"I felt that we missed a few chances, but thankfully it went our way. The best team deserved to win and I think we were on the night.
"We've got back what we deserved from last season. It's a fairytale.
"The Manager has been incredible. You know how good he is as well Wardy.
"He deserves his send-off and I think this is how it should have ended. I'm so happy for him as well."