"It's a massive shock, especially the day before the World Cup," Henderson said.
Earlier on Wednesday, Royal Spanish Football Federation (RFEF) President Luis Rubiales announced at a press conference that Lopetegui had been sacked as Spain head coach after agreeing to join Real Madrid after the World Cup, but without giving the RFEF any prior notification. Fernando Hierro has been appointed as the head coach of the national football team.
Henderson added that Spain has a "fantastic team", and they can become even stronger after changes in the team's management.
Russia will host its first FIFA World Cup from June 14 to July 15. The fixtures will be played at 12 stadiums across 11 cities.