Henning-Jensen was born in the Copenhagen district of Frederiksberg in 1914, to parents Ferdinand Smahl and Ruth Hanner. She graduated from secondary school (realskole) and began working as an actress in the theatre. She acted from 1935 to 1938 in theatres such as Alléscenen and Riddersalen in Copenhagen. On 10 August 1938, she married Danish film director Bjarne Henning-Jensen.
Her marriage to Bjarne Henning-Jensen was of great importance to her career. She began working as his assistant in 1941 at Nordisk Film. The duo worked together on a number of films as co-directors, co-writers as well as assisting one another on individual projects.
Henning-Jensen worked as a filmmaker in multiple capacities; writing, editing, and directing. In her career spanning more than 50 years, she made a large number of short films, films for Danish television, documentaries as well as feature films.
In 1981, Henning-Jensen was a member of the jury at the 31st Berlin International Film Festival and, in 1996, she was awarded the Berlinale Camera award at the 46th Berlin International Film Festival
Ditte, Child of Man is a feature film adaptation of Martin Andersen Nexø's novel Ditte Menneskebarn (1921). Henning-Jensen worked on the film as Assistant Director along with her husband. The film marks the international breakthrough of the Henning-Jensen duo. Furthermore, it has been called the film that gave hope to the future of Danish cinema following the second world war and is in this effect compared to Italian Neorealism.
The film was part of the 2004 Danish Culture Canon (Kulturkanonen), an initiative from then Minister of Culture Brian Mikkelsen, which displays a selection of 108 "cultural works of excellence". The film is also an example of a theme that has been addressed numerous times throughout Henning-Jensen's career: that of childhood. In an article written to present the duo with "the most esteemed Danish children's film prize" (Unibank og Danske Børnefilmklubbers filmpris 1990), they are praised as pioneers of Danish children's cinema. The article views Ditte, Child of Man (1946) as the start of a flourishing tradition, and Those Damned Kids (1947) as the first real Danish children's film. These films—as well as Paw (1959), Early Spring (1986), and a number of Henning-Jensen's other films—deal with the emotional lives of children in a realistic fashion. Two major styles are used in the way of portraying children in Henning-Jensen's films: one being that of a humanitarian dichotomy between the welfare of the few and the social impotence of the many, the other of children's drive to play versus lack of opportunities for expression. Another major style is the portrayal of children's imagination free of adult restriction. At the same time, many of these films deal with the importance of security from parents and adults; there need to be restrictions to dream them away. Ditte, Child of Man is noted as the film where children were given their own voice in Danish cinema for the first time.
Paw, Boy of Two Worlds is the story of a young boy who is brought to Denmark from the West Indies after his Danish father dies. The film deals with Paw's introduction to a new way living and was noted for being one of the first in Denmark to openly discuss racism in society. The film was nominated for Best Foreign Language Film at the 32nd Academy Awards in 1959, as well as being awarded the Grand Prix Technique at the 1960 Cannes Film Festival. In addition, it was awarded the Council of Europe Film Award at the Venice Film Festival and received a diploma of honor at the Edinburgh Film Festival.
Paw, and especially its portrayal of racism, is an example of one of the most important aspects of Henning-Jensen's career: her themes of humanitarianism, as well as social issues and justice, in which she gave center place to children and women. This is also the case in her 1978 adaptation of Dea Trier Mørch's bestseller, Vinterbørn. The film follows a series of women experiencing difficulties with their pregnancies and explores the bond that forms between them at a hospital.
Another important part of Henning-Jensen's films is realism. In her career, she made a substantial amount of documentaries dealing with the lives of people in different environments, such as ballet children in Ballettens børn (1954), or the recovery of torture victims in Trods alt (1990). But realism also plays a part in her fictional works. While Still Young (1943)—the feature film debut of husband Bjarne Henning-Jensen on which Henning-Jensen was co-writer and assistant—deals with the life of young artists in the Copenhagen art scene, and was regarded as neo-realist. Henning-Jensen's films are also noted as retaining documentarist influences from her early films, by shooting on-location, having a natural acting style, and dealing with real problems.
In 1999, Henning-Jensen published an autobiography—written by Danish author Barbara Gress—in which she tells stories about her life and career. In a very open and intimate manner, she talks about her experiences making movies, meetings with others, and her personal life. The book was compiled and edited by Barbara Gress.