In 1807, he joined with Manuel Lisa and three members of the Corps of Discovery (George Drouillard, Peter M. Weiser, and John Potts) and founded Lisa, Menard & Morrison to establish trading and beaver trapping enterprises at the headwaters of the Missouri River. In 1809, Henry led an expedition to the Three Forks of the Missouri River near present-day Three Forks, Montana, where he tried to establish a beaver trapping outpost but was beaten back by the Blackfoot People. In 1810, Henry abandoned the Three Forks outpost and crossed the Continental Divide and briefly trapped the headwaters of the Snake River, wintering in caves and hovels that historians have named "Fort Henry" on Henry's Fork of the Snake River, near present-day Saint Anthony, Idaho.
After many difficulties, especially with the Blackfoot Indians, Henry returned to Saint Louis, Missouri in January, 1812. When the War of 1812 was declared Henry enrolled in the army, rising to the rank of major.
In 1818, Henry married Mary Flemming, daughter of one of the owners of the lead mine. Mary Flemming was of French birth and considerably younger than Henry; the marriage was a happy one for them both and produced four children. Henry returned to lead mining.
In 1822, he started what would become the Rocky Mountain Fur Company with William H. Ashley. The new company sent three keelboats up the Missouri River, three different times. Henry led an expedition of 21 men, 60 horses and one keelboat to the mouth of the Yellowstone River and built a post that came to be known as Fort Henry. The next boat, under the command of Daniel Moore, sank, along with ten thousand dollars' worth of provisions. Ashley equipped a third boat, piloted it himself, and was able to get through to Henry at the Yellowstone. Ashley then immediately returned to Saint Louis to make preparations for the following season.