Irish Ancestors website lists existing church registers (with dates & locations) for all denominations in Kilmoremoy parish. Earliest years in Methodist registers were 1830's decade. Church of Ireland registers survive from mid-eighteenth century. https://www.johngrenham.com/records/church.php?civilparishid=1777&civil…
A list of Church of Ireland parish records is 'Table of Church of Ireland Parish Registers Throughout Ireland and where to find them', updated March 2019.
https://www.ireland.anglican.org/about/rcb-library/online-parish-records The information pages on this website are worth reading.
The parish list is in alphabetical order. For Ballina it says 'see Kilmoremoy'. Be warned, there are an awful lot of parish names Kil...... ! Original records are held by the Representative Church Body Library in Dublin. Records include vestry minutes. Kilmoremoy is in C. of I. diocese of Killala.
There is a note next to Kilmoremoy: 'some coverage at RootsIreland.ie'.
Kilmoreymoy C. of I. parish registers are in book and microfilm format at Family History Library, Salt Lake City, Utah. See World Catalogue and Family Search websites.
Another guide to finding C. of I. parish records is website Irish Geneaography https://www.irish-geneaography.com/church-of-ireland-parish-records-fin…;
Away from churches, I looked up Henderson surname in Mayo in Griffiths Valuation. This was a survey and valuaton of land in Ireland in mid 19th century. It was after your ancestors left. There was only 1 entry for Henderson in County Mayo . John Henderson, tenant. Barony : Burrishole; Union: Newport; Parish: Achill; Townland : Sraheens. He occupied a house but no land. So if there were any of your wider Henderson family left behind in Mayo, they weren't farming by 1855. www.askaboutireland.ie/griffith-valuation