Henry, born in New Jersey, went to Montreal as a young man to engage in the fur trade. On his first expedition, he arrived in Fort Michilimackinac in 1760. He went to Sault Ste. Marie in 1762, where he began learning the Chippewa language. When fire destroyed the fort there in December 1762 the garrison moved to Michilimackinac, where Henry was staying at the time of the Indian massacre of the English in the fort on June 2, 1763. He was taken prisoner with three other Englishmen, and his captors probably meant to torture them to death. However, through a fortunate series of events Henry survived his captivity and later that month arrived at Niagara, in time to accompany an army of 3,000 soldiers to relieve the siege at Detroit. He afterward was granted a license to trade with the Indians on Lake Superior, and was for some years involved in a mining venture on the Ontonagon river.