Born in Fort Smith, Indian Territory (in present day Arkansas), in 1839, Henry was a West Point graduate and a Civil War veteran on the Union side. Later, Henry fought in the wars against the native tribes of the American West and Southwest.

In the Spanish-American War, General Henry accompanied General Miles from Guant?namo, Cuba to Gu?nica, Puerto Rico. In the Puerto Rican campaign, he led the "Provisional Division." His column went through the mountains from Ponce to Adjuntas to Utuado before learning of the signing of peace accords in mid-August of 1898.

After the war's end, General Henry took part in the military government of the island by the U.S. Army. He was put in charge of the second of the two divisions of the country, with its capital in Ponce. When General Brooke was transferred to Cuba, General Henry replaced him as military governor in December of 1898. Among his executive acts were structural changes to the insular government and the elimination of taxes on staple foods. On May 9th, 1899, he resigned his command and power passed to General Davis.