The 24-year-old OWIA/NSWIS skier finished the qualification session in 15th position and 26th place overall at the end of a day.
“To say today was a hard day in the office would be an understatement,” Henshaw said.
He said he was unable to generate the speed he needed to push for a place in the final due to a dumping of snow during his heat.
Americans had a clean sweep of the podium, with Joss Christensen picking up gold, Mcrae Williams in second and Gus Kenworthy in third.
Henshaw was significantly affected by the slow conditions in his first run, forcing him to change his planned set of tricks mid-way down the mountain.
The decision did not provide the outcome he was looking for, leaving the silver medallist at last month’s World Championships outside the group of contenders for today’s final.
Henshaw approached the second heat with the knowledge that he had to produce a great run to close the gap between himself and the top group but he was unable to deliver the result he was looking for.
“I knew I had to land my second run in order to qualify,” Henshaw said.
“But with the snow falling harder and harder as the second run went on, I knew it wasn’t going to be easy.
“The five people who dropped before me all came up short on the jumps which made me super nervous.
“I managed to land all the rails clean and came into the first jump with more speed than I expected, so I did a left dub 10 on the first jump and put it to my feet.
“It all came down to the last jump, a right dub 12. I thought I was going to go pretty big as I felt like I had a lot of speed, but in the flat bottom of the jump and on the take-off, I soon realised I didn’t have as much as I thought.
“I did the right 12 and didn’t have enough airtime and slid out on my side.”
Henshaw watched the finals from an uncharacteristic place, the sidelines, and plans to fly back to Europe next week.
World Cup Slopestyle ski World Cup, Park City,USA
1. Joss Christensen (USA), 2. Mcrae Williams (USA), 3. Gus Kenworthy (USA), 4. Sami Sakkinen (FIN), 5. Thomas Wallisch (USA), 6. Christopher Laker (USA), 26. Russ Henshaw (AUS).
World Cup standings, after round 1
1. Joss Christensen (USA) 100, 2. Mcrae Williams (USA) 80, 3. Gus Kenworthy (USA) 60, 4. Sami Sakkinen (FIN) 50, 5. Thomas Wallisch (USA) 45, 6. Christopher Laker (USA) 40, 26.Russ Henshaw (AUS) 5.