He was the youngest son of Frederick Francis II, Grand Duke of Mecklenburg-Schwerin, and his third wife, Princess Marie of Schwarzburg-Rudolstadt.

Henry also fathered at least one illegitimate child, Pim Lier by his mistress Willemina Martina Wenneker (1887-1973).

Born in 1918, Lier eventually rose to prominence in post-war Dutch politics as chairman of the extreme-right Centre Party.

A grant of one hundred thousand guilders was arranged for Lt. Lier from the State by police chief François van 't Sant, whom Queen Wilhelmina engaged to verify the facts of her husband's extramarital relationships and children.

This, plus a monthly allowance to the Lt from the state of one thousand guilders, was in return for his commitment to "the three children of HRH".