The striker scored twice in the second half to leave Brown’s boys looking anything but promotion contenders. The visitors led in the 12th minute when a free-kick was turned into Anthony Wordsworth’s path and the midfielder did the rest with a fierce shot into the bottom corner.
Henderson then added a second shortly after the restart when he collected a pass from Wordsworth and fired home from 12 yards.
North End replied through Neil Mellor’s clinical shot on the hour but they continued to wobble alarmingly in defence and were punished accordingly.
In the 65th minute, Colchester grabbed their third as Henderson latched onto a header from Kayode Odejayi and hit a 20-yard shot into the net.
Preston refused to surrender and scored again in the 70th minute when Paul Coutts found the net from distance but Odejayi wrapped up the scoring six minutes later when he fired home from six yards out.