David Henderson married Elizabeth Cook in 1862 in Edinburgh St Andrew.
Go to
www.scotlandspeople.gov.uk, invest in a few credits and use some of them to view and download a copy of the marriage certificate. It will tell you the names of their parents, including their mothers' maiden surnames.
You'll still have enough credits to find their death certificates (assuming they died in Scotland of course). Go for her first because she should be indexed as both Cook and Henderson. Her death certificate will tell you whether he died before her, which will narrow down the search for his death.