It can be found on enemies in the Pike's basin gang hideouts, usually the reinforcements which arrive after the player sets the bombs for the crates (along with the Schofield and Double-Action Revolvers).
This rifle can bring down a Bear with a single shot anywhere to the head.
Once this weapon is acquired, the Winchester Repeater becomes obsolete; since the Henry is more powerful, more accurate, has a higher capacity, and similar firing and reloading speeds.
In real life, however, the Henry was the 1860 predecessor to the Winchester, and was both less powerful and much slower to reload.
The Henry Repeater's weapon wheel picture incorrectly depicts the gun with a wooden forearm and a side loading gate; the actual gun (like the in-game model, which is correct) has a bare magazine tube which is loaded from the front, and the only wood portion is the buttstock. This might mean that Rockstar originally intended to use the Winchester Model 1866 "Yellow Boy" which does have a forearm and loading gate, but changed it to the Henry as both these Repeaters have brass-like recievers and both were favored by Native Americans.