Southgate was furious at the abuse of Henderson as England's stand-in skipper was jeered by the Wembley crowd when he was substituted in the second half.
The Al-Ettifaq midfielder's England inclusion has been controversial following his switch from Liverpool to Saudi Arabia, with critics claiming he has let down the LGBTQ+ community after previously expressing support for them.
Henderson also triggered a recent backlash when he supported the Saudi bid to host the 2034 World Cup.
"I really don't understand it. He is a player with a lot of caps for England, his commitment and what he has delivered for England is exceptional," Southgate said.
"His role in the group is phenomenally important. He is a brilliant role model in his professionalism. I know why the booing happened but it defies logic to me. I'm incredibly impressed with the impeccable morals of everyone else in the country. We play Italy on Tuesday. Come on, let's get behind this team."
Southgate fielded an experimental side as he rested the majority of the players likely to feature in Tuesday's crucial Euro 2024 qualifier against Italy, which could seal England's place at next year's tournament. Few of Southgate's reserves made a convincing case to feature in the Italy game in a largely underwhelming performance.
Aston Villa striker Watkins has no chance of starting ahead of England captain Harry Kane - who was rested for this match - but he did at least remind Southgate of his predatory instincts with a clinical finish.
While England and Australia have fierce cricket and rugby rivalries, there is far less enmity between the nations on the football pitch given their lack of matches against each other.
This drab encounter appropriately finished to swathes of empty seats as fans made an early exit.
"It's tough when you haven't got a lot of caps behind you. We were not cohesive, but I gave the players a really tough challenge. Australia were athletic and well organised, so I'm pleased for the win," Southgate said.
October 13, 2023
'We've grown a lot'
Australia assistant coach Rene Meulensteen, deputising for Graham Arnold during the press conference after the Socceroos boss lost his voice, added: "You have to give our boys enormous credit for their bravery. We had the courage to press a big team. We showed we can go toe to toe with the big nations. We've grown a lot today for sure."
Henderson, Jack Grealish and Trent Alexander-Arnold were the only players with more than 10 caps in Southgate's starting line-up and it showed in the incoherent display.
Among the new faces in England's unfamiliar line-up were Chelsea defender Levi Colwill, making his debut in a back four featuring fellow international novices Lewis Dunk and Fikayo Tomori.
Arsenal striker Eddie Nketiah made a quiet debut as a second half substitute, while West Ham winger Jarrod Bowen showed little of the quality that makes him a key player for the Europa Conference League holders.
Australia threatened an early opener as Keanu Baccus's 25-yard curler drew a good save from Johnstone before Mitchell Duke volleyed just wide.
England briefly sparked into life when James Maddison's superb pass split the Australia defence, sending Watkins racing around keeper Mat Ryan for a low shot that hit the far post.
Australia's composed display was almost rewarded on the stroke of half-time as Dunk cleared Ryan Strain's shot off the line after Martin Boyle's pass carved open the fragile hosts.
Having escaped unscathed from their lacklustre first half, England took the lead in the 57th minute. Grealish deftly controlled Alexander-Arnold's high ball into the area and smashed a low shot that the sliding Watkins converted from close-range.
October 13, 2023