Henry holds an M.F.A. in Theatre from the University of Wisconsin-Milwaukee Professional Theatre Training Program, now located at the University of Delaware. At Chicago's Goodman Theatre he directed Red Cross in 1997, A Christmas Carol in 1996, and Cloud Tectonics in 1995, which was named one of the "Ten Best Productions in Chicago" by the Chicago Tribune and the Chicago Sun-Times. He also directed Romeo and Juliet for Shakespeare Rep. He has worked with Regina Taylor and Campbell Scott, and on the films Above the Law and The Fugitive.