Henderson has led Brendan Rodgers' men in Steven Gerrard's injury-enforced absence, and in spectacular fashion.
The former Sunderland midfielder scored long-range goals in wins over Manchester City and Burnley in the Premier League.
Lallana, who captained Southampton before his move to Anfield, said Henderson's game had improved thanks to the extra responsibilities.
"He’s unbelievable. For me, he has matured as a player over the last two years and kicked on to another level, even with the armband," Lallana said.
"I was lucky enough to be captain at Southampton and it does give you that little bit extra. It seems it is doing the same to him as well. It’s great to be playing with such great players – the results are on the up."
Gerrard could be set for a return when Liverpool face Blackburn in the FA Cup sixth round on Sunday.
Lallana urged his team not to underestimate the Championship outfit at Anfield.
"It is a great competition in which we have a great chance of getting to Wembley in the semi-final," he said.
"We won't underestimate Blackburn, we will dust ourselves down, recover well and go again Sunday.
"A lot of the big guns went out in the early rounds so it is good that we can maybe capitalise on that but Blackburn will not be an easy game.
"They will come here full of optimism and will want to cause an upset."
