Henry was born in Reading. He grew up in Woodley, attending Waingels College, and started his playing career at local club Woodley Saints. Henry, a right winger who has also played centre midfield, rose through Reading's youth academy and signed a one-year professional contract with Reading in June 2006. He missed most of the 2005–06 season with a cruciate knee injury. Following limited first-team opportunities during Reading's first season in the Premier League, on 22 March 2007 he joined Nottingham Foreston loan until the end of the 2006–07 season, yet returned to Reading after just three weeks after failing to make an impact. Henry played in just one match, coming on as a late substitute. Henry finally made his debut for Reading on 24 September 2007, coming on in the 80th minute of a 4–2 home defeat to Liverpool in the third round of the League Cup. On 2 November 2007 Henry joined Bournemouth on loan until 8 December, and scored two goals on his debut for the club a day later, in a 2–0 victory at Bristol Rovers. He also scored in a 1–1 draw between Bournemouth and Hartlepool. He made another loan move on 31 January 2008, this time joining Championship side Norwich City for three months, but the loan was cut short on 17 March 2008 because of Reading's concern at his lack of first-team action with Norwich. On 5 March 2008, Henry signed a contract extension with Reading to July 2010. Henry scored his first competitive goal for Reading on his full debut, on 12 August 2008, with the opening goal in a 2–1 win over Dagenham and Redbridge in the League Cup first round. He scored again in the next round as Reading thrashed Luton 5–1. Then in the next round against Stoke City, he scored twice to bring his tally for that League Cup campaign to four. The game finished 2–2, however, and Henry missed a vital penalty in the shootout as Reading lost. Henry made his full league debut for Reading on 9 December 2008 against Blackpool, replacing the suspended Jimmy Kébé on the right wing.
Henry moved on loan to Millwall on 14 March 2009 on a one-month emergency loan. On his home debut he scored from 35 yards in the last minute to earn his side a 1–1 draw with Swindon Town, and followed it with a penalty away at Cheltenham. On 10 June, new Reading manager Brendan Rodgers told the local press "I wanted to take James to Chelsea when he was 16. I felt he was a big talent and still is. I thought being around big players and coming into that environment would be a big help in developing his game, but he made the right choice in the end." On 10 September 2009, Millwall signed Henry on loan for his second spell with the club until the end of the year. On 3 October, Henry scored a hat-trick against Tranmere Rovers for Millwall. He then went on to score the stoppage time winner, a long-range free kick, in a 2–1 victory over Colchester at the Den. His loan spell finished when he was injured and returned to Reading. On 28 July 2010, Henry signed for Millwall on a permanent basis, signing a three-year contract. On his home debut against Hull City, he set up all four goals in a 4–0 victory. He scored his first goal as a permanent signing for Millwall against Scunthorpe United, in a 3–0 win.
On 1 October 2013 Henry moved on loan to Wolverhampton Wanderers of League One, where he reunited with his former Millwall manager Kenny Jackett. His loan lasted until January 2014 but was with a view to it becoming a permanent transfer. Henry scored four times during 13 loan appearances for the club, before it was announced on 31 December 2013 that a permanent two-and-a-half year deal would be confirmed when the January transfer window opened. Henry was part of the Wolves team that won the League One title with a record points tally and remained a regular member of the team over the following two seasons. In 2015, he signed a new contract until summer 2017. He was released at the end of his contract.
On 31 August 2016 Henry was loaned to League One side Bolton Wanderers until January 2017. Three days later he made his Bolton debut as the club came from behind to draw 1–1 with Southend United at the Macron Stadium. He scored his first goal for Bolton in a 2–1 win against Scunthorpe United on 31 December 2016. On 6 January 2017 his loan at Bolton was extended until the end of the season.
Oxford United
On 12 July 2017, Henry signed for League One club Oxford United. He made his debut as a substitute against Oldham Athletic in the opening match of the 2017–18 season, which ended in a 2–0 away victory for Oxford. He scored his first goal for Oxford in an EFL Trophy tie against Stevenage on 29 August 2017, and his first League goal in a 3–1 defeat to Blackpool on 16 September. He finished the season with 11 goals, joint top-scorer alongside Wes Thomas.
International career
Henry has played for Scotland U19s and England U18s, and was called up to the England U19 squad on 11 September 2007.
