The Red Bulls blew a two-goal lead before coming back from 3-2 down to net a very late winner and record a 4-3 come-from-behind triumph over a team they have struggled to beat in recent years.
New York have now won seven of 11 at the Red Bull Arena this season, which Henry is thrilled with, but has urged the side to improve their results on the road as they have saluted just three times from 11 away fixtures.
"I don't have any doubt of how we play at home, but away from home it's not the same team. So we have to manage our game away from home, play better and at home we're pretty good," he said.
"But we have to play better away from home if we want to, if we make the playoffs, if we want to win this thing because you know the games away are pretty important. We know we can play well at home as we've just shown and even before that but we have to play better away from home.
"That's the key right now if we want to be more consistent."
Tim Cahill headed New York ahead unmarked at the far post from an Henry free-kick in the 11th minute before former RSL striker Fabian Espindola converted from the penalty spot with an audacious chip just over ten minutes later.
The Red Bulls' two-goal lead was cut back by Alvaro Saborio who netted a hat-trick with goals in the 45th minute (penalty) and 80th and 82nd minutes prior to Espindola's second penalty with one minute of regular time remaining.
Enter Red Bulls midfielder Dax McCarty who managed to get on the end of a Brandon Barklage cross to head home the winner in the fourth minute of stoppage time, giving the home side their first win over RSL since 2009.