The men were faring little better, with Pablo Schreiber fanning himself with his hands and Jonathan Banks ditching his tuxedo jacket and telling fans: "You know how stupid we all are to be out in this!"
Fans in the bleachers outside the Emmys also resorted to fans - both paper and electric - to keep cool.
The heat outside was promising to continue inside as some performers and shows were poised to set records and make Emmy breakthroughs.
Henson and Viola Davis of How to Get Away with Murder have a chance to become the first African-American to win as best drama series actress.
"I gotta win! I gotta win for history!" an exuberant Henson said when asked about the prospect last May.
Gender-identity issues brought to the fore by Caitlyn Jenner and others likely will be a notable part of the ceremony airing live on Fox with host Andy Samberg.
Transparent star Jeffrey Tambor, considered a front-runner for the best comedy actor trophy, would earn the first Emmy for portrayal of a transgender character.
Bradley Whitford received a guest-actor trophy for his cross-dressing Transparent character at the creative arts Emmys last weekend.
The freshman Amazon series is a contender for best comedy honours, and a victory would make it the first online program to capture top series honors.
Others vying for that crown are the Netflix series House of Cards and Orange is the New Black. They became competing siblings when the TV academy moved Orange from the comedy to drama category.
Game of Thrones, this year's top nominee overall, could make a notable showing with a best drama victory: It would become the second fantasy or sci-fi show to get the award, following Lost in 2005.
Its competition includes the final season of Mad Men, poised to set a record as the most honored drama series ever with a fifth award. The cast hasn't fared as well, never winning despite repeated nods.
Making a last stand are star Jon Hamm, whose portrayal of troubled ad man Don Draper has been nominated for each of the drama's eight seasons, along with best actress nominee Elisabeth Moss and supporting actress contender Christina Hendricks.
Not everyone was preparing to win. Jimmy Fallon, on the red carpet, said: "Mum, thank you for everything. Because I'm probably not going to get onstage."
* Read our red carpet Emmys blog here.
- Agencies