Federer, winner of three of the four Grand Slam events in 2007, lifted his fourth consecutive Sportsman of the Year to set a record.
Henin took best Sportswoman a day after winning her second tournament out of three played in 2008. World and Olympic pole vault champion Yelena Isinbayeva finished second in that balloting.
Other winners included British Formula one driver Lewis Hamilton (Breakthrough of the Year) and British long-distance runner Paula Radcliffe (Comeback Athlete of the Year).
Russian President Vladimir Putin attended the ceremony at the famed Mariinsky Theatre.
Federer and Henin will next play at ATP and WTA events in Dubai, with the women starting in a week and the men to follow.