Real Madrid star Bale took over the armband from veteran defender Ashley Williams, who was rested after the 4-1 victory over the Republic of Ireland on Thursday.
James Chester deputised for Williams and Chris Gunter also returned to the defence to win his 89th cap, as forward David Brooks dropped out in a potential formation change.
Denmark’s senior squad were back in force after the image rights row which saw the Danes field lower-league and futsal players in their 3-0 friendly defeat to Slovakia on Wednesday.
The Three Lions suffered a third consecutive defeat at Wembley in the Nations League opener following their World Cup semi-final loss to Croatia and third-place play-off to Belgium in Russia.
Henderson admits there’s still a lot of areas to improve on but says the defeat will help them learn on what is required to be at the level that they want to be at.
Watch what he said below:
The Three Lions took to the field at Wembley on Saturday night and were given a rousing reception for their first match since reaching the World Cup semi-finals in the summer.
But, despite Marcus Rashford’s early opener, Gareth Southgate’s side were beaten 2-1 in a match somewhat overshadowed by what could have proved a serious injury to defender Luke Shaw.
The feel-good factor of making it to the final four in Russia was evident in and around the stadium and Trippier does not feel there is any reason to hit the panic button as semi-final defeat to Croatia and a loss to Belgium in the third-place play-off was followed up by another reverse on England’s return.
“It is not a concern,” the Tottenham full-back said.
“We are building and that is all we can do, play against these teams. We want to test ourselves against the best and certainly tonight we put up a fight.
“We knew it was going to be a difficult game, these are the teams we want to play against.
“We started bright and got the early goal and then to concede straight away after was disappointing.
“They passed it around very well in the first-half, we talked about that coming out into the second.
“I thought we played much better in the second half, we got it down and we played and we were unlucky not to come out with a draw.”
Saul Niguez levelled for Spain moments after Rashford had put England in front with Rodrigo scoring the winning goal later in the first half.
But late substitute Danny Welbeck saw a last-gasp equaliser controversially chalked off as the referee deemed the Arsenal man had fouled David De Gea before turning the ball home.
“From my angle I had a very good view of it,” added Trippier.
“The ball just went up in the air and Welbs just crouched down and De Gea just came over the top of him.
“The ref gave a foul and personally I don’t understand how it was a foul but these decisions happen and you have just got to move on.”
Welbeck himself was also at a loss to explain why his strike had been ruled out.
“I don’t think I did too much wrong, it is the referee’s decision at the end of the day,” he said.
“Me and the defenders were challenging for the ball. I don’t even think I touched David.
“He just dropped it on my head and once the ball dropped I was just trying to put the ball in the back of the net, I don’t know what the referee gave a foul for.”
Welbeck’s disallowed strike came deep into nine minutes of stoppage time, the majority of which was amassed as Shaw received treatment after a nasty clash with Dani Carvajal at the start of the second half.
The Manchester United defender, starting his first England game since September 2015 – just a week before he suffered a double fracture which could have cost him his right leg – was taken off on a stretcher with an oxygen mask after hitting his head.
He was later walking and talking in the dressing room, with Trippier admitting the incident looked worrying at first sight.
“As a team you don’t want it, to any player you don’t want the situation to happen,” he said.
“I was praying that he was alright and he seems a lot better, it seems like he has come round a lot more now which is very good news – all the boys just let him have his own space and we will all see how he is later on tomorrow.”