In the final, which was one of the 12 longest matches in women's tennis history, Henin beat former world No.1 Maria Sharapova 5-7, 7-5, 6-3 after over three and a half hours of playing time.
"This was one of the best moments of my career - to finish an amazing year with an amazing match, the longest I've ever played, makes me very happy," Henin said in an interview posted on the official WTA website.
Henin said the match against Russian Sharapova was tough but enjoyable, commenting that, "I felt pretty fresh physically, but it was mentally and emotionally tough. And she played an amazing match - it's great to see her at her best level again."
Sharapova, the 2004 Madrid WTA champion, said the Belgian World No 1 deserved her victory.
"She really came through and played good tennis in the end. But I'm in a much better place than I was two weeks ago. Right now I'm not asking myself any more questions," said Sharapova, whose season was blighted by injury.
Henin had the best season of her career, losing only four out of 67 matches, and winning 10 of the 14 tournaments she took part in. Her winning percentage totaled 94% and is the best in women's tennis since 1989.