It happened just before five Wednesday morning at the EZ Shop convenience store on Highway 41 near Clay Street.
Police say three suspects got away with an undetermined amount of cash.
Investigators say two of the suspects were caught a short time later, but the third is still on the run.
Jeremy Raggs, 28, and Monica Green, 33, were taken into custody by the Henderson Police Department after fleeing from officers by vehicle and on foot after trying to be stopped for questioning.
Police say Raggs was wearing clothes consistent with the suspect description given and had a "large amount of cash in his possession."
Police also say Raggs admitted to the robbery when questioned.
As for Green, keys belonging to the manager were found in her car. Police say she admitted to providing information about how the store operates, and also to providing a get-away-car.
Green is a former employee at the convenience store.
This investigation is still on-going and if you have any information, you're asked to call Henderson Police at 270-827-8700.