Henderson, a 17-year old native of Smiths Falls, Ont., shot a 2-under 70 to lead Canada to an even-par score of 144 through 18 holes.
Grace St. Germain of Ottawa shot a 2-over 74 and Naomi Ko of Victoria carded a 5-over 77.
Only the top two scores on each team are counted.
The United States took a commanding lead with an opening-round team score of 7-under 137. Megan Khang (5-under 67) and Mika Liu (2-under 70) led the way.
Finland was in third place with a 1-over 145.
Khang sits alone atop the individual leaderboard with a three-shot lead over Liu and Henderson heading into Monday’s second round.
Henderson, the world's No. 1 amateur women's golfer, finished with four birdies, including her final two holes.
“It was little bit slow to start, I wasn’t hitting the ball quite as good as I would have liked to,” she said. “Throughout the round I started to get a bit more comfortable. The last couple of holes I was playing my best golf."
Canada’s second team — comprised of Jaclyn Lee of Calgary (even-par 72), Selena Costabile of Thornhill, Ont. (6-over 78) and Alisha Lau of Richmond, B.C. (11-over 83) shot a 6-over 150, leaving them tied in eighth place.