Henderson is now playing for Ajax in Holland.
Bellingham says he turns to Henderson about learning from England's near-misses: "Yeah, definitely. I think there are players who are still in the squad who have had to experience that kind of thing.
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"You learn to learn from their pain, if you like.
"When I speak to Hendo, who I'm really close with, he tells me how lucky I am to be in this squad with such a good environment, whereas it was a bit different when he was playing at the start.
"I try and listen to him a lot because of the role model that he is to me. And he has properly helped me coming into this squad and helped me manage that expectation and responsibility."