Hensby played on what is now the Web.com Tour (formerly named the Nationwide Tour, the Buy.com Tour, the Nike Tour, and the Ben Hogan Tour) for several years from 1997 before he graduated to the PGA Tour for the 2001 season. He gained his place on the elite tour by virtue of his 2nd place finish on the Buy.com Tour money list in 2000. In his rookie season, Hensby did not earn enough money to retain his card and was forced to return to the second tier for 2002, after failing to regain his place at the end of season qualifying school. In 2003, he picked up his third win on the Nationwide Tour and finished 7th on the money list, to graduate directly to the PGA Tour for the second time.
2004 was a breakthrough season for Hensby as he sought to establish himself on the PGA Tour. He collected his first win at the 2004 John Deere Classic, where he defeated John E. Morgan in a sudden-death playoff, and also had several other top 10 finishes on his way to 15th place on the end of season money list. The following season, he made an impact in the majors, finishing tied for 5th at the Masters, tied for 3rd in the U.S. Open, and tied for 15th in the British Open.
A car accident early in 2006 severely limited Hensby's ability to compete that year, but he came back in 2007 to finish just outside the top 100 on the PGA Tour money list and secure his card for following season. His struggles were not over however and in 2008, he slipped outside the top 150 to lose his fully exempt status.