After going undrafted in the 2015 NBA draft, Henry joined the Houston Rockets for the 2015 NBA Summer League. On September 4, 2015, Henry signed with the Georgian team Vita Tbilisi for the 2015–16 season. However, on December 14, 2015, Henry parted ways with Vita Tbilisi due to financial struggles to join the German team ratiopharm Ulm for the remainder of the season. Henry helped Ulm reach the 2016 BBL Finals, where they eventually lost to Brose Bamberg.
On August 3, 2016, Henry signed with the Israeli team Hapoel Eilat for the 2016–17 season. On June 4, 2017, Henry recorded a career-high 34 points, shooting 4-of-5 from three-point ragne, along with 5 assists, 5 steals and 3 rebounds in a 94–91 playoff win over Maccabi Rishon LeZion. Henry finished the season as the Israeli League second-leading player in assists with 6.1 per game, he helped Eilat reach the 2017 Israeli League Playoffs, where they eventually were eliminiated by Maccabi Rishon LeZion.
On June 21, 2017, Henry signed with the Turkish team Tofaş for the 2017–18 season. On November 15, 2017, Henry recorded a season-high 26 points, shooting 5-of-8 from three-point range, along with 7 assists and 5 steals in a 100–84 win over his former team ratiopharm Ulm. Henry helped Tofaş reach the 2018 Turkish League Finals, where they eventually lost to Fenerbahçe. In 53 games played during the 2017–18 season, he averaged 10.4 points, 4.1 rebounds, 5.6 assists and 1.7 steals per game, shooting 40.4 percent from three-point range.
On June 29, 2018, Henry joined the Boston Celtics for the 2018 NBA Summer League, where he averaged 10 points, 4.8 rebounds, 4.5 assists and 2.1 steals in six games played for the Celtics. On July 16, 2018, Henry signed a one-year deal with the Russian team UNICS Kazan. On December 24, 2018, Henry was named the EuroCup Regular Season MVP, averaging PIR of 19.4, which was the highest among all players whose teams reached the Top 16. On March 2, 2019, Henry tied his career-high with 34 points, while shooting 14-of-18 from the field, along with seven assists and four steals in a 98–95 loss to Astana. Henry helped Kazan reach the 2019 EuroCup Semifinals, where they eventually lost to Valencia. On April 4, 2019, he earned a spot in the All-EuroCup Second Team. On June 21, 2019, Henry parted ways with Kazan.
Baskonia (2019–present)
On July 17, 2019, Henry signed a one-year deal with Spanish club Kirolbet Baskonia. He averaged 7.9 points, 3.6 rebounds and 3.4 assists per game in EuroLeague. On July 22, 2020, Henry re-signed with the team.
