New York Red Bulls ace Henry, 35, is back training with the club ahead of a likely loan move in January and is passing on tips to Walcott during sessions.
Gunners chief Arsene Wenger said: "I always said that one day Theo would play through the middle and it grew in his brain.
"He is now 23. I decided to play Thierry Henry at 23 through the middle because you have to learn a lot before.
"From 19 to 23, Theo has learnt a lot. Now we will sometimes play him on the flanks sometimes through the middle.
"I like what I have seen through the middle. Let's not put him under too much pressure. He has played two games and you have to give people a chance. If they take it, then it's good.
"I am confident he will do well but it's a bit early to compare him to Henry."