The former Liverpool captain joined the Dutch giants after Al Ettifaq terminated his contract.
Henderson's six-month spell in the Saudi Pro League has seen his standing in football drop considerably on and off the pitch.
Steven Gerrard's side made significant signings last summer, including Georginio Wijnaldum and striker Moussa Dembele.
Yet they are currently stuck in mid-table with Henderson failing to make an impact before his sudden departure.
Luckily, though, England manager Gareth Southgate appears to retain faith in the 33-year-old.
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He watched Henderson's debut from the stands but the Englishman only found out moments prior to kick-off.
"Hopefully he picked a good game and he enjoyed the game," he joked in a post-match interview with ESPN.
Ajax's clash with PSV Eindhoven ended in a 1-1 draw as Luuk de Jong cancelled out Steven Berghuis' goal in Amsterdam.
"Obviously it was a special day for me and my family," Henderson said.
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"To represent this football club for the first time - that was special. And to play in this stadium was really special."
He added: "I think there's still a lot to improve on, but it's been a privilege and an honour to play for this club," Henderson told a post-match press conference.
"Unfortunately we couldn't finish it in the end. But we've got a point to move on from.
"PSV have an amazing team, they've been unbeaten all season. But I thought we had some good chances to win the game towards the end. But unfortunately we couldn't find the back of the net."