Henna has been used to color hair for centuries just as mehendi has been. But usually the henna powder available in a market is only good enough to use on hair. Quite a few mehendi artists/hobbyists save their leftover skin quality henna paste and then use it on their hair. Henna has amazing conditioning properties when used on hair. For most people it will make your hair feel luxuriously soft. I can often get out of bed and finger comb my hair without finding any snarls.
Henna won't completely change the color of your hair. It will make it red but the color is more of a transparency over your hair. If you have blond hair then you will end up with a noticable carrot top-fiery red. If you have dark hair then it will be more noticable out in the sun when your head becomes a blaze of shiney dark red.
