Henderson's first worldwide exposure came in the box office hit Rob Roy (1995), followed by plum roles in Trainspotting (1996) and 1999's Topsy-Turvy, for which she earned glowing reviews. The actress's collaboration with director Michael Winterbottom resulted in the films Wonderland (1999), The Claim (2000) and 24 Hour Party People (2002).
In 2001, Henderson made a splash in America with Bridget Jones's Diary and has worked steadily ever since in movies such as Tristram Shandy: A Cock and Bull Story and Marie Antoinette (both 2006).