The settlement of South Western Alberta began with large free-range ranching operations coming to the area in the 1880s. The first settler in the parish of St. Henry was Jim Gilruth. Gilruth came from Montana and built a cabin in the Yarrow district sometime between 1883-1885. Soon after, members of the Gilruth family and others had settled in the area. In the early days, mass was either held at the Gilruth homestead or families would make the long, arduous trip into Pincher Creek for their Sunday church service.

In 1904 families got together and began to establish plans for a church. The Speth family donated a 10-acre parcel on top the area's highest hill. With the Rocky Mountains to the West and South, the Porcupine Hills to the North and the expansive prairie to the East, the views were and still are spectacular. After funds were raised, residents got to work building their church. Trees were cut from Wood Mountain, 40 kilometers to the west and hauled by wagon to the building site. Once at the building site, the trees were hewed into 8x8 timbers to become the bones of the church. A cornerstone with 1906 engraved into it was set into the South East Corner but has since been covered with cement. The whole parish helped with the construction of St. Henry's whenever they could get away from their farm work. A few even camped on site during the building process. Lumber came from Fernie Lumber. Millwork such as doors and windows came from Cushing Mill in Calgary.

Although it was not quite finished; sporting a temporary altar, bare walls and planks for seats, the church was blessed on May 28, 1907. Father Lacombe named the church. He chose to name it after St. Henry because “He is a good German saint.” A bell dedicated to St. Boniface was ordered from France and installed in 1908. In 1913 a statue of St. Henry was donated and remains in the church today.

After serving the area for 94 years, St. Henry's discontinued Sunday mass in 2001. Parishioners now travel to Pincher Creek to attend church. The Historical Society of St. Henry’s is a non-profit, voluntary association of local families, supporters, and former parishioners who maintain the church and grounds. After suffering damage during a severe hailstorm in late 2014, the church received a new red tin roof which is currently the roof that protects this resilient structure.