Adam Lallana’s penalty and Jamie Vardy’s header had put the hosts into a seemingly comfortable position just three minutes into the second half.
However, they switched off in the closing stages and after Iago Aspas scored on his debut in the 89th minute, Real Madrid forward Isco equalised in the sixth minute of added time.
“We are devastated because we put a lot of work into it,” Henderson said.
“To concede two like that late on is very disappointing. It is hard to reflect because it is so disappointing.
“I thought we matched them in terms of effort and work-rate. There are a lot of good things to take from it but overall we are disappointed because we should have won.
“In the final third I thought we created some good chances and looked dangerous on the counter-attack and for most of the game we defended well.”
Few connected with the national team will look back at 2016 with any fondness as a handful of impressive performance were overshadowed by the humiliating European Championship exit to Iceland.
England lurched from one crisis to another as Roy Hodgson’s successor Sam Allardyce left after a mere 67 days, but interim manager Southgate has steadied the ship impressively and looked crestfallen after Isco secured Spain a 2-2 draw deep into stoppage-time.
Adam Lallana’s early penalty and the end of Jamie Vardy’s goal drought had brought a smile to those inside a sold-out Wembley, producing football which will have pleased those in the top echelons of the FA.
Such a positive display on top of Friday’s 3-0 win against oldest foes Scotland surely makes Southgate a shoo-in for the job full-time, although the closing stages underlined the work that remains.
Many inside Wembley applauded Liverpool flop Iago Aspas’ stunning 90th-minute strike, but the overriding feeling was dejection as substitute Isco slotted a last-gasp equaliser.
Vardy was pleased, at least, to end a goal drought stretching back to September 10.
“Finally it’s over so let’s hope there are more to come now,” he said.
On interim manager Gareth Southgate, who is being tipped to get the job on a full-time basis, Henderson added: “He has been brilliant.
“He has not changed too much but you’ve seen with the performance we came with a plan which we did down to a T but unfortunately it was not to be at the end of the day.”
Hart (Heaton 46), Clyne, Stones, Cahill (Jagielka 46), Rose (Cresswell 79), Dier, Henderson, Sterling (Townsend 65), Lallana (Walcott 26), Lingard, Vardy (Rashford 67).
Walker, Sturridge, Keane, Wilshere, Bertrand, Pickford.
Reina, Carvajal, Martinez, Nacho, Azpilicueta,Mata (Koke 46), Busquets (Nolito 78),Thiago (Ander Herrera 56), Silva (Isco 63), Aduriz (Morata 63),Vitolo (Aspas 46).
de Gea,Sergi Roberto,Bartra,Callejon,Monreal, Sergio Asenjo. Booked: Martinez,Aspas,Carvajal. Goals: Aspas 89,Isco 90.
Ovidiu Alin Hategan (Romania).