Arsenal legend Henry works with Hazard as Belgium assistant coach.
Courtois told the London Evening Standard: "Obviously Thierry and Eden talk a bit when they are together with the national team. Eden is Eden, he has his own style, his own game, but he will take advice from everybody.
"Sometimes Thierry will take part of the team during a session when we split into a few groups.
"A lot of times after training he will take the strikers Romelu Lukaku, Christian Benteke and Divock Origi for shooting practice and sometimes Eden will join them too. They will stay out a bit more and work on their shooting.
"Thierry has a lot of experience, so he tries to pass on some of that as well. Henry helps a lot off the pitch, he talks a lot with the forward players including Eden, showing videos where they should position themselves.
"He scored a lot of goals in his career so if he can help players like Eden get in a better position, he will help them. He passes on his confidence too."
Hazard was this week named Belgium Player of the Year.