"I'm really proud of this movie because we haven't seen an African-American woman starring in a role like this," Henson said. "We've seen badass sidekicks but not the star of the show, headlining."
Henson plays a hitwoman involved with an organized crime family in Boston. Things take a turn for the worse when she meets a young boy after a professional hit goes wrong.
Henson said that "Proud Mary" was "fun" to make, but also a lot of work.
"I don't think people realize how much work goes into an action film. It's so physical," Henson said.
At the end of a long working day, Henson said, pulling off "a huge dangerous stunt" can get tricky. "Sometimes it's fatigue that steps in and you take a misstep and it can go bad, like the time I crashed a Maserati," she said, covering her face and laughing.
Henson said the executive producer side of her kicked in immediately to assess the damage.
"Let me tell you, if I was just the actress I would have been [like] 'eh.' But the executive producer in me was like, 'How much is this going to cost us?'" she exclaimed.
Other than the stunt mishap, Henson said one thing she particularly enjoyed was dressing up as a hitwoman: "I just felt like black Laura Croft."
"I had the ponytail and the combat boots ... a Navy blue motorcycle jacket and motorcycle pants and I just felt like, 'Dang, I could really hurt someone,'" the actress added.
Henson also gushed about her young co-star Jahi Winston, who plays Danny in the movie.
"I called him little prince. He is something special," she said. "He takes direction very well. We had the best chemistry. He reminded me so much of my own son at that age, I mean that's how we hit it off and he's just good. That kid is going to do something. He's going to be big in this town, y'all. Get used to saying his name."
The Oscar-nominated actress also addressed the "Times Up" movement and conversation at Sunday's Golden Globes.
"We're off to a good start. We have a lot of work to do," she said. "You have to start with a conversation, you know, you have to start getting those dirty secrets from up under the carpet and let's talk about it so that we can evoke change."
"Proud Mary" opens in theaters nationwide on Jan. 12.