The 21-year-old was signed earlier this summer by the Reds as Kenny Dalglish continues his rebuilding process in his second stint as manager.
Henderson joined his team-mates for pre-season training late after featuring in the Under-21 European Championship for England.
However, he is now trying to adapt to his new club and revealed the enormity of the switch has yet to dawn on him.
He told the Liverpool official website: "It probably hasn't sunk in properly yet, but I'll keep working hard, keep doing the things I was doing at Sunderland and hopefully I can achieve.
"I'm settling in fine. The lads have been brilliant in welcoming me to the club."
Irony and fate so often play a hand in football and in Henderson's case, it has again proved so.
Sunderland will arrive at Anfield for the first game of the new Premier League season on August 13 - pitting the England international immediately against his former club.
But he is not daunted by that prospect or by the increased pressure that accompanies playing for the five-time European champions.
"I was with the U21s at the time (the fixtures were announced) and some of the lads had a bit of banter about it," he added.
"But that happens in football. It's a massive game - the best of the season. Obviously it's against Sunderland, which is even more exciting for me. I'm looking forward to it.
"There are big expectations and demands (here), but that comes with football - you're going to get that wherever you go and it's about how you deal with it.
"I'm looking forward to the challenge. I'll just keep working as hard as I possibly can and hopefully I can put some good performances in for Liverpool."