Liverpool captain Henderson was replaced in the second half of England's 2-0 loss to Belgium on Monday (AEDT) with what boss Gareth Southgate described as "a bit of tightness".
Manchester City attacker Sterling played no part against Belgium because of a "small niggle" picked up in training.
Both players have been ruled out of Thursday's (AEDT) Nations League clash with Iceland and Southgate has decided against calling up any replacements.
"Jordan Henderson and Raheem Sterling will miss England's forthcoming UEFA Nations League fixture against Iceland," an England statement read.
"The pair have returned to their respective clubs for further assessment. Gareth Southgate will continue his preparations for Wednesday with a 22-man squad."
Ben Chilwell also left the field early against Belgium with a back problem but remains part of Southgate's squad for the Iceland match at Wembley.
England can no longer finish top of Group A2 with one game to play and are safe from relegation, leaving them in a direct battle for second with Denmark, who are three points better off and could still qualify for the Finals with a win over Belgium.
