Her final-round 3-under 69 left her at 12 under, four ahead of Azahara Munoz, whose 67 was the low round on a very hard scoring day.
Henderson and fellow Canadians Alena Sharp, Anne-Catherine Tanguay, Brittany Marchand and Maude-Aimee Leblanc wore green and gold ribbons in memory of those killed in the Saskatchewan bus crash involving the Humboldt Broncos junior hockey team.
Henderson gave herself several chances to run away from the rest of the field at a windy Ko Olina Golf Club on Friday, but in the end had to be content with a one-over-par 73 that nevertheless saw her retain her position at the top of the leaderboard. Lindberg, victor of this month's ANA Inspiration, shot a 73, leaving her four off the front.
World number one Feng Shanshan, of China, and American Mo Martin are tied for second after shooting 69 and 67 respectively.Pernilla Lindberg, Park Inbee and Lindy Duncan are tied for fourth at six under. She insists she "gets more excited" in the wind, which should make Ko Olina an ideal site for her this week. "I know it kind of affected my whole country".
Ferrari stun rivals with qualifying speed
MercedesAMG have dominated in China for the past 7 years for the last time a Silver Arrow vehicle failed to line up on the pole. The Finn duly picked up the baton to set the third quickest time but was 0.743 seconds off Vettel's pace.
"I'm hitting the ball the best I could remember", Munoz said. "They're in my thoughts and prayers", she said.First-round leader Feng rolled in three birdies in her bogey free round, while defending champion Cristie Kerr had a 75 to reach two-over 146, six shots back of Henderson.Hawaii native Michelle Wie shot a 73 and is tied for 31st.
Munoz, who has struggled with illness injury the past few years, climbed 13 places the final day.
She was two over for the day after 10 holes but rescued her round with an eagle on the par-five 13th to stay close.
She might not be able to catch the top of the pack by Saturday's end, but Wie is now tied for 18th heading into tomorrow's final round.