Rashford and Henderson left out of England squad
Manchester United forward Rashford, 26, has struggled for form this season, scoring seven goals and managing two assists in 33 league appearances.
He played in seven England games this season before being left out against Belgium in March.
Rashford shared a screenshot of the training squad on social media, with a message “wishing Gareth and the boys all the best” for the tournament.
Henderson joined Al-Ettifaq in Saudi Arabia from Liverpool last summer but left them to join a struggling Ajax side in January.
Southgate continued to pick him following his move to the Saudi Pro League, though he was booed by some England fans on his first game back in the country, against Australia at Wembley in October, which the England manager said at the time “defies logic”.
Henderson was in the squad for March friendlies against Brazil and Belgium but did not play.
Southgate will have to cut at least seven players when he confirms his final squad of up to 26 players for the tournament in Germany, with a deadline of midnight on 7 June.
