Nicknamed the 'Man of Steal,' Henderson holds the Major League record for career stolen bases and runs scored.
Henderson spent five years of his 25-year career with the New York Yankees. Later on, he was a free agent with the New York Mets.
The Mets and Yankees both released statements on Saturday.
He started his prolific career with the Oakland Athletics in 1979.
The A's eventually traded him to the Yankees, and then five years later, the Yankees traded him back to Oakland.
Many consider Henderson the greatest leadoff hitter of all time.
There is no word yet on a cause of death.
Henderson would have been 66 on Christmas Day.