In 1792, Henry and his nephew Alexander Henry the younger together obtained one share in the North West Company for six years. In 1796 he sold his interest to William Hallowell (1771–1838), but continued to buy furs from traders and export them to England. When one of his uninsured shipments was captured by the French in 1801, he suffered a serious financial crisis. In order to repair his fortunes, Henry became a commission merchant and auctioneer in partnership with William Lindsay. Plagued by ill health, he worked hard at a job he did not find satisfying.