Kamil Grosicki lashed in an early goal for the visitors before Millwall striker Lee Gregory headed home an equaliser midway through the first half.
Millwall saw two efforts cleared off the line in the first three minutes of the second half but Aiden O'Brien fired the hosts in front from the edge of the box in the 54th minute.
It was Hull's turn to level on 73 minutes as Jordy De Wijs headed Jarrod Bowen's corner back across goal and Henriksen nodded in at the back post.
The draw does little for either side's hopes of pulling away from the bottom three but Tigers boss Nigel Adkins - who celebrated his one-year anniversary in charge of theYorkshire side - did end a three-match losing streak as a manager against Millwall.
"It's a good point away from home," said Adkins. "Millwall is always a challenging place to come to and we knew that before the game. We knew we had to be competitive.
"It was going to be a big ask, especially when we had young Brandon Fleming making his [league] debut at left-back.
"He's from the academy system. We've had a lot of injuries, I played him and I thought he was superb - he did really, really well.
"We got off to a good start with Kamil Grosicki on the counter attack - it was a really good goal. Then from our point of view, it was a poor goal for the equaliser. We've got to stop the cross coming in.
"Millwall started the second half really well, they pinned us back and it was really challenging.
"They've scored and we've had to hang in there, make a little change and it was a good goal from the corner from Henriksen after the first header from de Wijs.
"It's a good result away from home and underlines the spirit we've got in the team, with all the squad contributing."
The Lions went behind for the sixth time in their last seven home league games at The Den and were in pole position to get three points, but instead are without a win since October 27.
Gregory's return to the side was a boost for Millwall, against a Hull defence without the injured Reece Burke and Eric Lichaj, while Lions winger O'Brien was a surprise inclusion after suffering a crack to his knee that saw him stretchered off at Bristol City last Sunday.
Hull took just six minutes to go in front when Bowen threaded a pass through to Grosicki in the box and he fired past goalkeeper Jordan Archer at his near post.
Millwall regrouped and were level in the 22nd minute when full-back James Meredith crossed from the left and Gregory climbed above league debutant Brandon Fleming to nod past David Marshall at the back post for his eighth goal of the season.
In the 48th minute Jed Wallace's shot towards goal was cleared off the line by De Wijs, and from the corner Fraizer Campbell was in the right place with Marshall beaten to prevent Shaun Hutchinson's header going in.
But Hull's relief was short-lived as O'Brien took a pass from Steve Morison to shoot left-footed low inside Marshall's left-hand post.
Hull pressed back a Lions side retreating to try to protect their lead and Adkins' troops were rewarded 17 minutes from time when Henriksen headed past Archer - although they could not force a winner in the closing stages.