Ollie Watkins’ second-half goal sealed the victory in the friendly, while England will now play Italy in their crucial Euro 2024 qualifier next Tuesday.
Henderson started as captain for Friday night’s game but was jeered by fans when he was substituted in the second half.
The former Liverpool captain has faced heavy criticism from the LGBT+ community over his decision to join the Saudi Pro League in the summer.
But Southgate is unhappy with the negative reaction Henderson received at Wembley.
‘I really don’t understand it,’ Southgate said after the game.
‘He’s a player who I think has 79 caps now for England, his commitment and what he’s delivered for England is exceptional.
‘His role within the group on and off the pitch is phenomenally important. He’s the one that has taken the likes of Jude Bellingham under his wing as soon as he came in the squad, provides a brilliant role model for all of the group in his professionalism, in his approach to every part of his work.
‘Some people decided to boo, I don’t really don’t understand what that is for.
‘You’ve got players in England shirts, come on, we play Italy here on Tuesday, I know we weren’t at our best tonight but that was due to a lot of changes that we made and we gave the players we put out there a really difficult task because to be cohesive with so may changes is tough.
‘I will just say this is a team that is delivering a lot, they all deserve everyone’s support.’
Asked if he feels Henderson is still playing at the name level after his move to Saudi Arabia, Southgate replied: ‘We’re reviewing all of the games. I think he knitted things together, he held things together quite a bit today.
‘We didn’t have as many physically strong players on the pitch today, it was the team we needed to pick to preserve people, to give people opportunities, and so you need leadership, we didn’t have a lot of experienced leadership on the field, we didn’t have a lot of caps on the field, so Hendo’s influence before the game, during the game, was hugely important. He helped other players to get through the game, no question about that.’
Asked if he believes Henderson’s decision to support Saudi Arabia’s bid to host the 2034 World Cup was a factor behind the boos, Southgate said: ‘What has that got to do with a guy supporting an England shirt?
‘I don’t really know where we’re heading with everything. I’m hugely impressed with the impeccable values and decisions that everybody in our country is making. Clearly… I don’t understand it.
‘I know what’s created it and I know why it’s happened but it defies logic to me that you would give a player who is playing and putting his heart and soul into laying for England, why boo him? How is that going to help him or the team?’
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