Born in Hartford, Kentucky, McHenry attended the public schools at Hartford, and was graduated from the law department of Transylvania University, Lexington, Kentucky, in 1845.

He was admitted to the bar in 1845 and commenced practice in Hartford.

He served as member of the Kentucky House of Representatives 1851–1853 and 1865–1867.

He served as member of the Democratic National Committee from 1872 until his death.

The town of McHenry, Kentucky is named in his honor.