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 two shots 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 magazine 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 is shown being reloaded through the breech like the Winchester but in reality the Henry needed to be reloaded through a magazine tube located near the muzzle.
The Henry rifle in the game seems to be modeled after some of the steel framed reproductions manufactured today as all original Henry rifles were made with a brass framed receiver.
The Henry Repeater's weapon wheel picture incorrectly depicts the gun with a wooden forearm and a side loading gate. This might mean that Rockstar originally intended to use the Winchester Model 1866 "Yellow Boy" but was changed into the earlier Henry rifle.