The Red Bulls are preparing to head to Washington to take on DC United this weekend, making it their fifth away fixture from their opening seven league matches of the campaign.
New York have a record of one win, two draws and three losses so far and Henry is of the belief that the constant travel has contributed to that negative start.
"It's difficult to find a rhythm five games away in any league in the world, trust me," Henry said.
"Last year at least, [we played] the two first games away [then] we went back twice at home and then we went to start like a normal league. Home, away, home, away.
"If you look at our results away from home last year, they were not that great but the balance of bringing the confidence back when you came back at home, you won some games, so therefore you were like, 'Oh, we struggled away but we're winning at home.' We can't even find out if we can win at home because out of seven games we have five away."
Of the poor beginning, the former Arsenal star added: "It is not great, obviously, but it's not that bad considering we are going to play five games on the road out of seven.
"I don't know why but that's how it is and sometimes to start a league playing five games away, if you do what we just did right now, it's difficult to find your confidence."