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.
England provisional squad
https://emp.bbc.com/emp/SMPj/2.52.1/iframe.htmlMedia caption,
Euro 2024: Marcus Rashford and Jordan Henderson left out of provisional England squad
Goalkeepers: Dean Henderson (Crystal Palace), Jordan Pickford (Everton), Aaron Ramsdale (Arsenal), James Trafford (Burnley).
Defenders: Jarrad Branthwaite (Everton), Lewis Dunk (Brighton), Joe Gomez (Liverpool), Marc Guehi (Crystal Palace), Ezri Konsa (Aston Villa), Harry Maguire (Manchester United), Jarell Quansah (Liverpool), Luke Shaw (Manchester United), John Stones (Manchester City), Kieran Trippier (Newcastle), Kyle Walker (Manchester City)
Midfielders: Trent Alexander-Arnold (Liverpool), Conor Gallagher (Chelsea), Curtis Jones (Liverpool), Kobbie Mainoo (Manchester United), Declan Rice (Arsenal), Adam Wharton (Crystal Palace).
Forwards: Jude Bellingham (Real Madrid), Jarrod Bowen (West Ham), Eberechi Eze (Crystal Palace), Phil Foden (Manchester City), Jack Grealish (Manchester City), Anthony Gordon (Newcastle), Harry Kane (Bayern Munich), James Maddison (Tottenham), Cole Palmer (Chelsea), Bukayo Saka (Arsenal), Ivan Toney (Brentford), Ollie Watkins (Aston Villa).
Five uncapped players in initial squad
Uncapped quintet Jarrad Branthwaite, Curtis Jones, Jarell Quansah, Adam Wharton and James Trafford have made Southgate’s initial selection.
Everton centre-back Branthwaite, 21, was key in his side securing Premier League safety this season, while Liverpool centre-back Quansah, 21, and 23-year-old team-mate Jones, who plays in midfield, helped the Reds finish third in the top flight.
Wharton, 20, impressed at Palace following his move from Blackburn Rovers in the winter transfer window and his team-mates Eberechi Eze, Marc Guehi and Dean Henderson have also been included by Southgate.
Trafford, who did not play for Burnley after being dropped in March, received his first England call-up in March after Sam Johnstone dropped out of the squad through injury, but has yet to play for the national team.
Other players to make the cut are West Ham forward Jarrod Bowen, Manchester City winger Jack Grealish and Brentford striker Ivan Toney, along with Manchester United midfielder Kobbie Mainoo and left-back Luke Shaw.
Mainoo, 19, played in friendlies for England against Brazil and Belgium in March and has made 31 appearances for Manchester United this season, scoring four goals.
Shaw has not played since February because of a muscle injury.
The training squad will join up on Wednesday, 29 May prior to friendlies against Bosnia-Herzegovina on 3 June and Iceland on 7 June.
Southgate’s side will then open their Euro 2024 campaign with a Group C game against Serbia in Gelsenkirchen on 16 June.
Who else misses out?
Apart from Rashford and Henderson, other notable absentees include Ben Chilwell, Eric Dier, Reece James, Jadon Sancho, Dominic Solanke, Raheem Sterling and Ben White.
Left-back Chilwell has not been picked, despite injury concerns over Shaw, while right-back James and winger Sterling – also of Chelsea – are absent.
James has only played two games since returning from a lengthy injury in May, while Sterling has not played for England since their defeat by France at the 2022 World Cup.
Solanke appeared in all 38 of Bournemouth’s Premier League games last season, scoring 19 goals and registering three assists, while White has made himself unavailable for England duty.
Winger Sancho is on loan at Borussia Dortmund from Manchester United and, despite helping the German club to the Champions League final, has not been picked by Southgate.
Centre-back Dier helped Bayern Munich to the semi-finals of the Champions League and, even though he is again playing regular football after leaving Tottenham, has not done enough to make the list.
England fixture schedule
Friendlies (all times BST)
Bosnia-Herzegovina (3 June, 19:45 at St James’ Park)
Iceland (7 June, 19:45 at Wembley)
Euro 2024 group stage
Serbia (16 June, 20:00 in Gelsenkirchen)
Denmark (20 June, 17:00 in Frankfurt)
Slovenia (25 June, 20:00 in Cologne)
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