It was the second year the honour has been awarded by Hockey Canada.
Harper took part in a hockey "hotstove" discussion with Messier, Henderson, King and TSN's Gord Miller, asking questions about the trio's successes on the international stage with Team Canada.
The Order of Hockey in Canada celebrates people "who have made an extraordinary contribution to hockey in Canada," said a Hockey Canada news release.
Henderson scored the game-winning goal in the last game against Russia in 1972's Summit Series, winning the series for Canada. He also scored the game-winning goals in the sixth and seventh games of the series.
Messier is the only player to captain two teams to the Stanley Cup, winning with Edmonton in 1990 and the New York Rangers in 1994, after winning four Stanley Cups with an Oilers team captained by Wayne Gretzky in the 1980s. He has also played a management role with Team Canada.
King is one of Canada’s most decorated coaches, leading teams at the winter Olympics, IIHF World Championships and IIHF World Junior Championships.
Jean Béliveau, Cassie Campbell-Pascall, Gretzky, Gordie Howe and Gordon Renwick were awarded the Order of Hockey in Canada in 2012.