Henderson has recovered from the leg injury which curtailed his involvement in Scotland's first two matches of the tournament.
"I've made some improvement and getting better every day, so I'm hoping to be ready for that," he said.
"I'm not sure what's happening just yet. We're all keen to play, I think everybody appreciates that the All Blacks are probably the best team in the world at the moment, so we're all keen to have a go at them and see how we fare.
"We've got to go into it looking for the win, that's how you go into every game. Yes, they are a very good side, but we've got to go into it with a positive frame of mind.
"It has been frustrating watching from the sidelines, especially because things have been going well, but now I'm just desperate to get back involved."
Meanwhile, defence coach Alan Tait says that the focus of the Scotland squad during the build-up to Sunday's clash will centre on developing a positive mental attitude.
A huge part of modern-day rugby relates to analysis and precise preparation, but Tait is sceptical about how much his team can learn from watching New Zealand's first two matches in the tournament.
The All Blacks have scored 184 points and conceded only 27 in thrashings of Italy and Portugal.
"It's been pretty tough analysing them without being too negative," Tait said. "What do you show the players? I don't know how many tries they've scored in their last two games.
"They are a massive force, but I think we'll get the side together and have a couple of looks at them and not really pick out much.
"We'll put them on the field and hopefully they can do the job for themselves. That's all you can really ask for against the All Blacks.
"It will be interesting when they start playing the big boys to see how they will adapt to that because they have had two easy hit-ups and I'm pretty sure they will be looking forward to having a harder game this weekend, as we are.
"I can't read minds, but you have to keep telling the players just to get out there and give it their best shot."