Henderson scored on a 2-yard run early in the second quarter to give the Aztecs a 7-0 lead.
O'Connell, who struggled throwing the ball, iced the win on a 14-yard TD run with 7:05 left in the game to put the Aztecs ahead 17-6.
San Diego State (3-9, 3-5 Mountain West) averted setting a dubious school record under first-year head coach Chuck Long. With a defeat, the Aztecs would have become the first team in the school's 86-year football history with 10 losses.
O'Connell, who completed just 7-of-19 passes for 51 yards, gained 68 yards on 12 carries.
Colorado St. (4-8, 1-7) lost its seventh consecutive game, scoring only on field goals of 27 and 23 yards by Jason Smith.
Garrett Palmer added a 23-yard field goal for San Diego State, which won despite having just nine first downs and 235 total yards of offense.