He was born in Amherstburg, Essex County, Ontario, in 1848, a son of Augustus and Matilda (née Grandin) McKenney.

McKenney attended primary Catholic and public schooling in his birthplace, until moving to the Red River Colony around 1862.

[4] Faced with ill health, McKenney then moved to Minnesota, where he was a sutler during the 1869 Red River Rebellion.

He would soon move back to Canada, in 1870 moving to Fort Garry and Portage la Prairie before settling at Westbourne, Manitoba, where he once again engaged in the fur trade, in his uncle's business, Henry McKenney & Company,[5] and later in his father Augustus' business.

On an 1875 trip to the Rocky Mountains on a coal expedition for the Centennial Exposition with a local geologist on which he was serving as an interpreter, McKenney would gain employment with the Hudson's Bay Company as a clerk.

[3] In St. Albert he also sat on the town's school board as well serving as license commissioner, postmaster (1886–93), justice of the peace, and police magistrate.

[7] In 1903, again due to ill health, he would travel once again, this time taking a trip of the Pacific coast, through the neighbouring province of British Columbia, then through the United States, passing through Washington, Oregon, and California.

[3] In Edmonton, McKenney was a prominent property owner, owning farms and houses around the city.

It was originally leased out by a school supply company, a foot ware store, and a fruit market.

[2][14] On January 12, 1885, [4] Henry Willam McKenney married Mary Risdale, an English immigrant from Manchester.

[3] With her he would have seven children: Maud, John Christian, Aloysia Agnes, Frederick, Alice, Frances, and Albert Edward.

[13] The 1912 publication, History of the province of Alberta noted on McKenney: "The name of Henry William McKenney has been inscribed high on the roll of honored pioneers of the great Northwest and as one of the most eminent citizens of Edmonton, in the development of which he has taken such a prominent part".