The midfielder made an immediate impact after returning from an arm injury suffered while on international duty with England at the 2026 FIFA World Cup.
Henderson scored twice and provided an assist in Chelsea's emphatic 5-1 victory over Bournemouth, marking his home debut in spectacular fashion. He then helped Xabi Alonso's side beat previously unbeaten Everton 2-0 to record successive league wins for the first time.
"I'm loving playing football at the minute," Henderson said.
"It's an absolute privilege and honour to be playing with some of the players in this team. I'm just enjoying it, working with them every day and playing with them out on the pitch."
The midfielder believes Chelsea's collection of talented players is beginning to develop into a more cohesive unit following a summer of significant changes to the squad and coaching staff.
"There's some top quality, top talent, here, and I really feel like the team's beginning to take shape in terms of the togetherness and everything," he added.
"There's been a lot of new change in the summer - new coaching staff and players coming in - but I really feel that the togetherness is coming, not only in training during the week on the field, off the field as well."
Henderson believes that growing unity will be crucial as Chelsea look to build momentum under Alonso, although he acknowledged that there is still plenty of room for improvement.
"I know we've still got a lot to improve on as a team, but I feel as though in the last couple of weeks we're going in the right direction," he said.
Chelsea will now turn their attention to Saturday's Premier League clash against Tottenham Hotspur at Stamford Bridge, where they will aim to extend their winning run.