In 1992, at the age of 25, Henshall was cast as Fantine in Les Misérables. Her first starring role came in the 1993 trans-Atlantic transfer of the Broadway smash Crazy for You which opened at the Prince Edward Theatre. Her performance earned her the first of five Olivier Award nominations. In 1995, Henshall starred in She Loves Me, winning the Olivier as Best Actress in a Musical. That same year, she performed a concert of Gershwin songs at London's Royal Festival Hall. Later, in October, she recreated her role of Fantine for the 10th Anniversary Concert performance of Les Misérables at the Royal Albert Hall. In 1996, she took on the role of Nancy in Producer Cameron Mackintosh's hit revival of Oliver! at the famed London Palladium. In 1997, Henshall originated the role of Roxie Hart in the West End transfer of the successful Broadway revival of Chicago. For this role, she received her third Olivier nomination for Best Actress in a Musical, which went to her co-star Ute Lemper.