The purpose of this paper is to clarify the mythical structure, which follows the structure of Greek`s heroic myth or mono-myth, in Saul Bellow`s Henderson the Rain King. The nuclear structure of myth is "departure→initiation→return". Henderson is alienated from his family and society, even though he desires order and meaningful life but only finds chaos. He is trapped by two inescapable factors of life: death and reality. So, he leaves his wife and goes to Africa just as the heros in myth. Through Africa`s initiation, Henderson recognizes reality and love, and returns to his home, America. Finally he experiences the transformation, which is the important theme of myth, in the mythical structure like Greek`s heroes and finds his own identity. (Jeonju University)