The 16-year-old, who is being mentored by last year's winning judge Tulisa Contostavlos, has got over 38.5% of the popular vote in our latest poll.
Speaking to Digital Spy about her early favourite tag, Henderson said: "I'm trying to not even think about that. It could all just change at Live Shows.
"All I can do is be me and do the best that I can do."
Her nearest competition comes from 21-year-old supermarket worker Jahmene Douglas, who has 10.3% of the vote, and Lucy Spraggan, who has 9.4%.
Carolynne Poole (8.8%) and James Arthur (7.8%) have picked up early fans, while Kye Sones (4.6%), Jade Ellis (4.5%) and Union J (4.4%) are a little further back.
Watch our interview with Tulisa, Ella and the X Factor Girls:
The acts who may be in danger this weekend are boy-girl duo MK1 (3.6%), Melanie Masson (3.1%), Rylan Clark (2.6%) and boyband GMD3 (2.5%).
However, there is often a dramatic twist in voting trends after the first Live Show. Last year, Janet Devlin was the early tip for glory, while Little Mix (then known as Rhythmix) only had 1% of the vote in a DS poll.
The X Factor Live Shows start this weekend on ITV1.