Henry has exhibited at L’École des Beaux Arts and L’Orangerie in Paris; in London at the Royal Academy, Whitechapel Gallery, Serpentine Gallery, Bankside Gallery and the Mall Galleries, and at public galleries in Brighton, Birmingham, Bristol, Edinburgh, Guildford, Leeds and art fairs in Manchester, Edinburgh and London. He has also shown with the Royal Society of British Artists, the Royal Watercolour Society, the Royal Institute of British Architects, the Royal Society of Marine Artists, the Pastel Society, the Camden Etchers Group, the Society of Graphic Fine Art, the New English Art Club, the Royal Scottish Academy and the Royal Society of Painter-Etchers.