He was appointed head coach of New Zealand in 2004, and had several successful seasons, including a series victory over the British & Irish Lions in 2005.

Henry was heavily criticised following the All Blacks' quarter-final exit at the 2007 Rugby World Cup and was reappointed amid some controversy.

His success with Wales resulted in him being given the nickname "the Great Redeemer" in the media there after guiding his side to eleven consecutive victories in 1999.

He left Wales in 2002 after a record defeat to Ireland in the Six Nations by 54–10, and returned to New Zealand where he was appointed defensive coach of the Blues during their successful 2003 Super 12 season.

The coaching team was often referred to by rugby commentators as the Three Wise Men due to their collective experience and success.

[4] His first Test match as coach was against the Rugby World Cup 2003 winners England team in New Zealand in 2004.

Henry and his assistants were criticised in the New Zealand media for their insistence on using a flat backline approach in attack – which they blamed for a low number of tries.

The 2004 end of year Tests where they played Northern Hemisphere opponents was more successful and culminated in a 45–6 defeat of France in Paris.

Henry's All Black coaching career was in question after New Zealand lost to France 20–18 in their 2007 World Cup quarter-final.

Others criticised Henry for omitting experienced winger Doug Howlett, the All Blacks' leading scorer of tries in this tournament, starting lock Keith Robinson (who was both injured and had had minimum game time throughout the World Cup) as well as the injured flyhalf Daniel Carter (after earlier proclaiming that his team had enough depth not to force any injured players onto the field), and playing Mils Muliaina, widely considered one of the best fullbacks in rugby, out of position at outside centre.

Henry never stated that referee Wayne Barnes was culpable for the defeat, as Barnes not only allowed several French ruck infringements to go unpunished, but also sin-binned Luke McAlister and missed a forward pass in the buildup to the decisive French try scored by Yannick Jauzion.

[8] The reappointment produced a mixed reception with the public, media and past players; some applauded the decision while others considered it a mistake.

[13][14] In February 2012, he took a two-year part-time position with the NZRU as a mentor for the country's Super Rugby and ITM Cup coaches.

[15] In April 2012, Henry began serving for one year in a similar role with the Argentina Rugby Union (UAR), primarily as a mentor to that country's high-level coaches and also as an assistant with the national team.

Henry was made a Knight Companion of the New Zealand Order of Merit (KNZM) in the 2012 New Year Honours, for services to rugby.

[17] In 2020, he was the coach for the Match Fit squad, an old-boys team of former All Blacks for a one-off game against Barbarians.