Starting in February 2015, Rollins began recording a semi-regular podcast with his longtime manager Heidi May, titled "Henry & Heidi". In describing the show, Rollins stated, "One day Heidi mentioned that I’ve told her a lot of stories that never made it to the stage and we should do a podcast so I could tell them...I thought it was a good idea and people seem to like how the two of us get along. We’ve been working together for over 20 years and are very good friends." The podcast has received positive reviews from "Rolling Stone" and "The A.V. Club".