The 23-year old winger has emerged as a key part of the Lions squad and has now signed on to remain at The Den for at least the next few years.
"It was nice going into the summer knowing Millwall wanted to give me a new contract," Henry told the club's official website.
"I'm happy to be staying. Millwall is a fantastic club and we are going in the right direction.
"Everyone is looking to go one step further this year and see where we end up.
"As a whole team, we did very well at the end of last season and for myself personally I felt I picked up my performances towards the tail end.
"It would be good to continue that way. I'm sure I will and am just looking forward to getting up and running this season."