The 16-year-old singer was chosen by judge Tulisa Contostavlos as one of the final three girls in the competition on last night's show (September 30).
The schoolgirl revealed that she does not feel pressured after being named the bookmakers' favourite to win.
"Hearing those comments is crazy – I feel like they aren't talking about me," she told The Sun. "It's a very surreal feeling but exciting, too. I've got a constant grin on my face.
"I will be nervous before the live show but I don't feel pressured. I'm just excited to think I'm still so young and I'm going to be able to keep pushing myself.
"I'm bound to go wrong at some point like everyone else – I'm not perfect. I'm going to be me and give the most honest performances I can."
She added: "I've had words with Tulisa about keeping my feet on the ground and I know I can go to her at any point if I feel it's all getting too much."
Henderson also spoke about her friendship with rival contestant Lucy Spraggan, saying: "We have a love-hate relationship. We tend to wind each other up."
The X Factor continues with its first live show on Saturday, October 6 at 8pm on ITV.
Watch Ella Henderson talk to Digital Spy below:
Photo gallery - The X Factor final 12:
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