His personality isn't for everyone. Ole Miss fans can't get enough of him, a prolific scorer and unofficial mascot for the Rebels with his on-the-court antics of trash talk and colorful celebrations.
But fans of other schools, and even the media covering those schools, have gone to Twitter, message boards, etc., to voice the opposing side. He can rub some the wrong way, unafraid of being the bad guy on the road.
Actually, he relishes the role.
"I got to do that. If I come out dead, I'm highly ineffective," he said. "I'm not as athletic as everyone else that I play against. People come out and don't have a hyper, crazy dude. They're just athletes. God gifted them with way better bodies."
"I know a guy pretty well that was like that," Ole Miss head coach Andy Kennedy said, referring to himself. "There's something about that. It's almost like an us against the world."
Henderson started playing junior high basketball in seventh grade. He starred for a small school in Texas, with a graduating class "of about 80 people." A little town, so natives would fill up the gym, even on the road.
"I'd just be going off on people in junior high, and it'd be so fun," he said. "But I had the worst temper ever when I was a little kid."
As the son of a coach, he was more skilled than other kids his age. Always in the gym, he had an understanding for basketball - to jump for a rebound, to dribble the ball and run back on defense.
Henderson was better than any same-age player he came across. The competition wasn't fair. They didn't stand a chance.
"Ever since first grade, I've always just gotten the ball (and) gone," he said. "That's pretty much the way I've played all the time. Whenever I get the rebound here, a lot of people look to outlet. I just go. That's how my dad taught me to play the game."
His dad, Willie, taught him the ins and outs of basketball, including his shooting form. Marshall described his dad as a once great shooter and scorer. He played college basketball, too, before turning to coaching. He actually coached Marshall at L.D. Bell High School in Hurst, Texas.
"He didn't learn (basketball) until he was older," Marshall said of his dad. "He vowed to himself that he was going to teach his first son all that. The rest was just me, just out there practicing and doing it all the time."
When Henderson was 4, he could make a 3-pointer on a 10-foot goal. Now he's making 35-foot 3-pointers, as he did against Vanderbilt on Tuesday, beating the buzzer to send a would-be loss into overtime.
The Rebels ultimately won the game, 89-79, giving them their first 3-0 start since 2005-06 and their best overall start (14-2) since opening the 2007-08 season 15-1. Ole Miss hosts Arkansas today at 12:30 p.m. CST.
Henderson would always try to mimic his dad's players in junior high. He'd shoot how they shot. His personality, however, was the constant.
"My dad always told me you've got to wake up ready to go because you're lacking in other things," Henderson said. "You've got to make up for it. You've got to do something to separate yourself. Everyone's got a little white dude who can shoot 3s. You can't be the same; you've got to be different."
He started "chirping some" in high school. He got some of that from his dad. But the two had a strained relationship; a relationship Henderson said is "soaring" these days.
But the path to where they are now, on far better terms, was rocky.
"I'm glad he's not my coach anymore," Henderson said. "We can actually talk. We were both bad. It would be father and son at the gym and then coach and player at home. We'd always get it messed up.
"I felt like that's how it is with all coach's kids, freaking miserable. But it's like the greatest thing ever, too."
Henderson doesn't run from his troubled past. Quite the opposite, in fact. And his dad helped him through.
"Back in the day in high school, I got caught up in a couple of things, got burnt," Henderson said. "My dad came through, helped me out. We weren't really talking at the time."
His parents had kicked him out of the house before, on a normal day, he got a call from the secret service.
An arrest followed. He was being charged with forgery, which led to years of probation. Even after he signed with Utah, where he started 30 of 31 games and averaged 11.8 points per game in 2009-10, he was required to travel to Texas once a month to visit his probation officer.
Now, he only sends in a form each month. "It's gone now," Henderson said. "I don't have to worry about it anymore." His probation ends in March of this year.
"I was scared," he said. "Extremely scared. I thought I was done for. It was scary as hell."
He's moving on, and he's doing so in an environment that suits him. He never fit in at Utah. He transferred after one season, moving on to Texas Tech before leaving for South Plains Community College. That's three stops in three years, for those keeping count at home.
Upon Henderson's transfer from Utah, then-coach Jim Boylan said he didn't understand the 6-foot-2, 175-pound guard's "individuality."
The same individuality he's brought to Ole Miss.
"For us, Marshall's a guy that brings a lot of energy," Kennedy said. "Sometimes with that energy comes a lot of attention. I think it's passion. We don't want it to be misconstrued. Everything that he does is sincere. It is team first. We just want to make sure he funnels it in the proper way. He's a guy that's certainly going to garner attention."
Henderson is averaging a team-best 19.1 points per game, and leads the SEC and ranks sixth in the nation in 3-pointers made at 3.8 per game. He leads the conference in scoring.
He scored a career-high 32 points in Ole Miss' league opener against Tennessee, the most points scored by a Rebel in their first league game since Johnny Neumann in 1970. He followed two games later with 26 in the win at Vanderbilt.
"I love Coach Kennedy," Henderson said. "My dad's really been my coach. We don't really see eye-to-eye on a whole lot of things, me and my pops. But Coach Kennedy, we see eye-to-eye on a lot of things. We're kind of similar. He likes to say I'm kind of how he was back when he played.
"He's like, ‘Let me just let you know, I see things through the eyes of a 44-year-old man. Trust me, when I was playing, I had to go apologize to people on the court. Trust me, I know. I've been there. You've got to let help you.' He told me that on day one."
Henderson hasn't always been this way. But with Ole Miss atop the SEC standings and in the conversation for the NCAA tournament - a destination Ole Miss hasn't reached since 2002 - Rebel fans have welcomed his animated, sometimes combustible, personality with open arms.
Because no matter what others might think, to them, that personality is what could propel their program from year-to-year appearances in the NIT to college basketball's Big Dance.
"Everything happens for a reason," Henderson said. "I don't think I could have wound up in a better situation than right here with this team. There's not a better situation than right here, not a better coach to play for, not a better team to have come into. It's great."