The show, which is based on an unpublished memoir by Antonia Murphy, is also set to star Six Feet Under's Rachel Griffiths, who will take on the lead role (via Variety).
The story follows a woman (Griffiths) who sets up an ethical brothel when increasing debt and a philandering husband leave her struggling to provide for her family.
The original memoir focuses on an American woman who opened up an escort agency in New Zealand after it decriminalised sex work, with the aim to protect women's well-being, rights and financial independence.
Madam comes from showrunners Shoshana McCallum and Harry McNaughton, and is also set to star The Wheel of Time's Rima Te Wiata, Wentworth's Danielle Cormack, Bad Behaviour's Robbie Magasiva, and Ariāna Osborne.
The show will air on ThreeNow and Three in New Zealand, with a global broadcaster yet to be announced.
"Madam is inspired by a compelling and surprising true story, and this series promises an unexpected new take on the world’s oldest profession," said Alistair Jennings, SVP for Asia Pacific sales at Fifth Season.
"Headlined by the formidable and globally recognisable star Rachel Griffiths, with a dynamic supporting ensemble and a perfect blend of humour, intrigue, romance and motherhood, we’re sure the show will both captivate and resonate with fans. We can’t wait to introduce Madam to audiences around the world.”
New Zealand native Henderson is perhaps best known for playing the role of Jack Sheridan in Netflix's Virgin River.
Virgin River seasons 1-4 are streaming now on Netflix, alongside the first part of season 5.
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