[2] On March 14, 2009, he led Putnam City to the Oklahoma Class 6A state championship, scoring 24 points in the title game against Jenks High School.

On November 18, 2008, Henry announced his commitment to Memphis citing the opportunity to play alongside his brother, C. J., as the primary reason for the decision.

[15] On April 7, 2010, Henry announced that he would forgo his final three seasons of collegiate eligibility and enter the 2010 NBA draft, where he was expected to be a first-round selection.

On January 4, 2012, Henry was acquired by New Orleans Hornets as a part of a three-team trade that sent Marreese Speights to Memphis and two future second-round picks to the Philadelphia 76ers.

[23] On April 11, 2014, Henry underwent surgery to repair both a torn ligament in his left wrist and a cartilage abnormality in his right knee.

[26] On October 18, 2014, Henry's agents announced that he would be seeking a second opinion following his April 11 knee surgery and traveling to Germany for Regenokine treatment.

On November 24, he was ruled out for the rest of the season after an MRI revealed a ruptured left Achilles tendon that he suffered at practice.

[33] On November 2, he was acquired by the Santa Cruz Warriors of the NBA Development League as an affiliate player of Golden State.

[34] On February 19, 2016, he made his debut for Santa Cruz in a 116–100 loss to the Rio Grande Valley Vipers, recording 14 points, four rebounds, one assist and two blocks in 16 minutes.

"[39] Henry's brother, C. J., was a 2005 MLB first-round draft pick and returned to college after playing three years of minor-league baseball in the New York Yankees and Philadelphia Phillies organizations.