He was born in Gotha, as the seventh but fourth surviving son of Ernest I the Pious of Saxe-Gotha and Elisabeth Sophie of Saxe-Altenburg.

After the death of their father, in 1675, Henry and his brothers co-ruled the duchy of Saxe-Gotha-Altenburg.

On 24 February 1680, after the treaty of division of the family lands with his brothers, he received Saxe-Römhild, which consisted of the cities of Römhild, Königsberg (now in Bavaria), Themar, Behrungen and Milz and the fiefdom of Echter.

From 18 November 1680 Henry and his young wife Marielies lived in what they called Glücksburg castle in Römhild.

Among the more magnificent structures were a cave house named Marie Elizabeth Delight, named after his wife, whom he loved very much, and a pleasure palace in Mertzelbach, designed by the court sculptor Lux, who also created the high altar in the Abbey Church.

He equipped the city church with a Baroque high altar, an ornate royal box and a new organ.