The Chanticleers (3-0) took the lead for good on Henderson's second TD run, a 3-yarder that capped the scoring with 7:55 left in the fourth quarter.
Western Illinois (1-2) pushed into Coastal Carolina territory on the game's final drive, but the Chanticleers defense knocked down Trenton Norvell's pass on the final play to secure the win.
The Leathernecks took the lead four times, the last on Norvell's 5-yard TD pass to Stacey Smith Jr. to make it 27-26 with 9:08 left. Norvell finished 31 of 48 for 370 yards, two touchdowns and no interceptions and Nikko Watson added 156 yards and two TDs on the ground.
Alex Ross passed for 153 yards for Coastal Carolina, which won despite committing the game's only turnover and getting outgained 546-349.
AP College Football website: www.collegefootball.ap.org