This was the Cape side's second successive league defeat in Durban - last week they went down 2-0 to AmaZulu.
From the start it was clear that the team from Durban had revenge on their minds, following their loss to Ajax in Sunday's Telkom Knockout Cup match at the Athlone Stadium.
It took them just four minutes to register the opening goal, which came via the boot of on-form Henyekane, who lobbed the ball into the net following a pass from the lively Francis Kombe.
Njabulo Manqana was then unfortunate not to double Arrows' lead after ten minutes when he saw his shot from outside the box crash into the bar.
The hosts were on fire and Ajax goalkeeper Sean Roberts had to pull off a fine save to stop Kombe from scoring after 12 minutes.
But two minutes later Kombe was not to be denied when he found the back of the net with a header from a Manqana cross.
The Urban Warriors were given another retrieve in the 32nd minute when Henyekane had a penalty saved by Roberts, who had himself given away the spot kick, following a foul on Philani Shange.
Shange was, however, involved in Arrows' third goal in the 37th minute - his initial shot was not held by Roberts and Henyekane made no mistake this time by nodding the loose ball home from close range.
It was the local side who continued to dominate proceedings in the second stanza - Kagisho Dikgacoi and Manqana both had shots from range but were unable to add to the score-line.
Roberts again came to the rescue of the Cape side when he saved Senamela’s volley in the 65th minute.
It seemed as if Ajax were going to make a relative success of a damage limitation program in the second half, until Henyekane came along in the 83rd minute to add a final nail to their coffin.
He netted from close range after a pass from Senamela to complete a memorable day for the KZN side.