The 18-year-old Henderson had a hole-in-one on the 152-yard 13th hole with a seven-iron.
"It was a pretty good day today," Henderson said. "I was trying to get under par, but it's tough to say how hard this course was going to play going into today and for the rest of the weekend."
American Christina Kim and South Korea's Kim In-Kyung also played in the morning wave and were the only other players to post rounds in the 60s, with both shooting two-under 69.
Thailand's Ariya Jutanugarn, the hottest player on the Tour right now having won her past three tournaments, finished in a large group of players at one under. She birdied her last two holes on Thursday.
The top group of the morning session featured Lydia Ko from Australia and Americans Lexi Thompson and Stacy Lewis. Ko had a pair of birdies to go with two bogeys in an even round of 71.
