Henry enrolled at West Virginia University in 2002, spending his first season as a redshirt. In 2003, he earned Big East Conference freshman of the year and All-Big East second-team honors for catching 41 passes and gaining 1,006 yards and scoring 10 touchdowns. He also became the second player in school history to record over 1,000 receiving yards in one season (behind David Saunders), and his 24.5 yards per reception are the third most in a season in school history. Henry's best game was a career-high performance of 209 yards and two touchdowns against Syracuse. His career-long reception came against Rutgers that season, an 83-yard reception.