Monday night, during shootaround a day prior to Ole Miss tipping off against a reeling Vanderbilt team inside funky Memorial Gym, the fiery junior college transfer took 3-point shot after 3-point shot.
But these weren't normal 3-pointers. No, he was settling in and shooting just inside halfcourt. One. Two. Three. By the end, he had made six, seven in a row.
"I was screaming ‘I got range,'" Henderson said.
Does he ever. He needed only one of those shots on Tuesday.
With his team trailing, 78-75, with three seconds remaining in regulation against the Commodores, Henderson caught a pass from point guard Jarvis Summers. There was no Vanderbilt player around him.
Up it went. Good, and the celebration was on.
Ole Miss outscored Vanderbilt 11-1 in the overtime period to secure its first win in Memorial Gym since 2001, a 89-79 victory, and move to 14-2 overall on the season and 3-0 in Southeastern Conference games.
The Rebels are off to their first 3-0 start in the SEC since 2005-06.
"Tough shot, obviously," head coach Andy Kennedy said. "Marshall got his shoulders square. Obviously, it's a difficult shot. But he's shown a propensity to make those."
"It was unbelievable," said senior guard Nick Williams, a six-point scorer on this night. "Everybody ran to him. I just stood and watched the jumbotron. I wasn't sure he got it off. He got it off. Players make plays."
Vanderbilt (6-9, 0-3 SEC) guard Kevin Bright had hit a go-ahead 3 just seconds prior. Ole Miss was well on its way to a resume-damaging loss. The Rebels last reached the NCAA tournament in 2002.
However, Henderson, who finished with a team-leading 26 points, answered the call.
"I knew when they made (the 3) that I was going to come down and make a shot and send it to overtime," Henderson said.
He was right.
Ole Miss shot 52 percent (32-62) from the floor for the game, including 6 of 18 from 3. But it was the final 3 of regulation that mattered most. And it was Henderson, who leads the SEC and ranks third in the nation in 3-pointers made, who took the shot.
"I actually didn't shoot it like I wanted to shoot it," Henderson said. "I didn't have any rotation on it; it just kind of floated in there. I'll take it."
So will Ole Miss, winners of six straight games.
"That's who everybody wanted to take it," Kennedy said. "He got a reasonably good look. He knocked it down. He's a gun-slinger. I think he's doing a better job of being a complete basketball player as of late. He's doing a better job of taking what the defense gives him."
Fresh off its first win over a top-10 opponent since 2011, a 64-49 home victory against Missouri on Saturday, the Rebels were riding high heading into Nashville.
But Ole Miss hadn't won here in a decade. Actually, the Rebels had lost five straight to Vanderbilt, and 10 of the last 11.
Vanderbilt lost each of its starting five from a year ago, a 25-win team that advanced to the third round of the NCAA tournament. Still, the Commodores looked like the Vanderbilt of old, making 17 of 40 3s, including 12 of 20 in the first half, good for 60 percent.
"If you think you're going to walk in this building and just roll it out there and win, you're sadly mistaken," Kennedy said. "Our guys learned that. Almost had to learn that the hard way. Thank goodness we didn't."
Reginald Buckner and Jarvis Summers each had 14 points for Ole Miss, while Murphy Holloway added 12. He also grabbed eight rebounds, while Buckner finished with 11. The Rebels won the rebounding battle, 38-35.
Vanderbilt head coach Kevin Stallings was obviously disappointed following the loss. He said his young team doesn't know how to win games such as these, a down-to-the-wire thriller.
The Commodores were led in scoring by Kedren Johnson. He had 19 points.
"Well, pretty disappointing to lose that game," he said. "Pretty disappointing to lose it in the fashion we lost it in. Thought our guys played pretty hard. They're such a good offensive team. They're a tough team to guard. We didn't get it done on the defensive end.
"We just tried to be heroes instead of getting back and doing what we're supposed to do defensively in that situation. We're very disappointed."
Ole Miss returns to action Saturday against Arkansas at home. Tipoff is scheduled for 12:30 p.m. CST.
"Fortunately for us, we didn't have to take the loss, have to regroup," Henderson said. "We realize we need to come in 100 percent focused. We knew they were going to be a desperate team. It's the SEC; every game's going to be tough."