henchmen

is there any way to level up henchmen?

No, but their level increases as you get to "higher level content" farther into whatever campaign you are in.

Heroes' levels can be increased by killing stuff while having them in your party with you, though.

No, henchman "level up" by changing zones. The more challenging the zone, the higher the level of a henchman.

If you're interested in a henchman that you can level up, then you should look into purchasing Nightfall. It grants the ability to earn Heroes, which are essentially henchmen that earn experience and that you equip with arms, armor, and skills.

Guild Wars eye of the North grants Heros as well...and they are already level 20

If you have them in your party, they gain XP (and level up) just like pets.

They also suffer from death penalty.

You're talking about heroes - the OP is talking about henchmen.

Henchmen do not level up, however, their level will increase as the zones get harder.

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Since we're on the topic of Henchmen. Is it doable going hard-mode with just your character and henchmen?

Yes can can go into HM with heroes and henchmen. Henchmen from early areas will also be bumped to lvl20 and use updated skillbars. Your heroes, however will remain at whatever lvl they are.

They still don't have a adequate skill bar in hard mode.