The seven-time world champion was unveiled as 'Rubbish' - adorning a cartoonish wheelie bin outfit - in the pre-taped Saturday night entertainment singing contest.
The 54-year-old, who also works as a commentator and pundit on snooker coverage for the BBC and ITV, admitted he was fined by the World Professional Billiards and Snooker Association (WPBSA) for pulling out of tournaments without suitable reasons.
"You're dying to tell people what you're doing but you can't," he said.
"I have wildcards to play in some events and I actually pulled out of a couple and got fined by the WPBSA.
"And I couldn't tell them why because this recording was going on and I couldn't obviously say why I pulled out. I just said 'Look, I can't play the tournament'.
"It was very, very strange."
The Masked Singer sees celebrities wear themed costumes and anonymously perform a selection of songs live in front of a studio audience and panel of celebrity judges, who then vote on which celebrity to unmask.
In each episode, the celebrity contestants offer a range of clues that allow viewers to guess who they are before their identities are revealed.
"I have been asked to do the other reality shows, but the thing that appealed to me about this one obviously was the fact that you are in a costume. Nobody can see you," Hendry added.
"My son texted me and said 'I've watched the show every week. I can't believe you've done that'.
"He didn't even have a clue. The feedback and the reaction was incredible."
