The new deal will keep the 23-year-old winger at The Den until the summer of 2014.
“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.
“We’ve got a young group of players and I believe the gaffer is doing the right things in building a strong squad.
“It’s good to be a part of it and playing first team football. At the age I am you have to be playing regularly.
“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.”