The Three Lions have enjoyed a remarkable journey during their European campaign, buoyed by home fixtures at London’s Wembley Stadium.
England won 2-0 over Germany in the last 16 and 2-1 over Denmark in extra-time at Wembley, sparking wild celebrations from players and fans.
Sunday’s decider will also be played at the same venue and 31-year-old Liverpool skipper Henderson reiterated the message that there was another game to win.
“It means everything to us as a team and as a nation to be in a final for the first time in a long, long time,” Henderson told beIN Sports.
“It is an unbelievable feeling, but at the end of the day we haven’t achieved anything yet, we’ve got to go one more big push to try and win it, recover well and focus on the next job in hand, a tough game against Italy.
“We know how good they are, it is a tough test for us but one that we are confident of going out there and putting in a good performance.”
England’s run has marked their maiden appearance in an European Championships final.
It also comes after making the 2018 World Cup and Nations League semi-finals.
It’s also England’s first major final since the 1966 World Cup success.
England are marginal favourites to win the decider, with Harry Kane and Ciro Immobile shortest to score first.