Both players had bogey-free finals rounds, Ko with a 4-under par 67 and Henderson with a magnificent 65 helped by some incredible hole-outs including a monster eagle putt from off the green at the par five 11th.
Ko showed her class and composure throughout her final round but was outplayed by Henderson who shot a spectacular round of golf as other challengers fell away.
Ko was bidding to continue a remarkable run of success at the majors which began in the Evian tournament last year when she shot a final round 63 to become the youngest woman to win a major. She followed that with victory in the ANA Inspiration in April and then today's tilt at the title.
This year Ko broke her schedule in America and Asia to return to New Zealand and win the NZ Open at Clearwater .
She won the Kia Classic in March and followed that success with her ANA major win in the next tournament in a year when she has not finished outside the top 25 in any of her appearances.
Henderson became the second-youngest winner in a major championship, with Ko the youngest last year in the Evian Championship in France.
Henderson also ended Ko's bid for her third straight major victory.
Ariya Jautanugarn, in search of a fourth straight victory, shot 66 to finish a stroke back. She missed a birdie putt on the 18th that could have put her into the playoff.
"I'm happy with the way I played. I just got outplayed," Ko said. "For Brooke to shoot 65 on the final day at a major, at a course like this is very impressive."