Now, 20 years later, Henry finds himself in a similar position of waiting to prove himself, after being sacked just three months into his first job as a head coach at Monaco. The biggest difference, of course, is that the Frenchman no longer has the same control over his own destiny.
Speaking for the first time since leaving Monaco seven months ago, Henry said: "You don't doubt yourself, you want to have time to prove yourself, that you can do it. I have been in situations in my life when people thought it was all great. When I was at Arsenal, it wasn't all great for me. I stayed on the bench for a little while, people forget.
"They all know the Derby story. But before that game, I didn't play. I didn't come on against Fiorentina at Wembley in the Champions League, I came on in the last 10 minutes against Barcelona in the Champions League. People remember, 'Oh yeah, since that Derby day.' But from August to Derby in November, there were a lot of months I got hammered, by the press and by my own fans. But, at the end of the day, was I playing well? No. Did they deserve to have a go at me? Yes. The bottom line is I will always take responsibility.
"In football, you have a contract as a player and you can grab the ball and prove people wrong. The Derby game, two goals and then I play again, again, again and again.
"But as a coach, you have to wait for another job and that is difficult. It is frustrating because there isn't a next game to prove yourself or another chance that can arrive quickly. In life, if you fail, you get up and you fight. But as a coach, if you fail, you get up and you wait to fight."
Just as Henry was single-minded in his desire to become a world-class player, he is determined to pursue a career as a head coach, despite the bruising first experience.
Monaco were 18th in Ligue 1 with only one victory when Henry succeeded Leonardo Jardim in October and were in the middle of the worst injury crisis in the club's history, with 17 players on the sidelines.
Forced largely to use players from the academy and unable to implement his ideas on the training ground, due to Champions League involvement and preparing for a match every three days, Henry managed four victories and a League Cup penalty shootout success in his 20 games in charge before being sacked on January 24.
Henry expected the criticism that followed but Jardim's return yielded only five more victories in the remaining 18 games and survival on the final day of the season, despite Monaco signing a number of new players at the end of the January transfer window.
As if to underline the problems ran much deeper than an inexperienced coach, Monaco have started this season under Jardim with successive 3-0 defeats, against Lyon and Metz.
Henry is not bitter over his treatment but insists only he and his staff know the full picture.
"There is something I always say," he said. "You win or you learn, and I learned a lot. I still have Monaco in my heart, it's the club that gave me my first opportunity as a player and coach, so I will always be thankful to the people who gave me that.
"My heart talked at the time. I wanted to go back to where I started everything. I have zero regrets about what happened. It was a very difficult task and I felt if I'd had more time I could have done more. But if you don't get results, no matter what the circumstances, you have to go.
"All I would say is that if you don't pass that line and sit on the bench, then you don't know everything. I've heard a lot of people give their opinion on what happened at Monaco and, boy, they were wrong, but I will never go into details.
"If I knew I only had three months, then maybe I would have acted a different way, but I was trying to plan something for the future and doing that in such a little amount of time is very difficult.
"I'm proud of what we did achieve with such a young team. We had to win in Caen and Amiens, and those six points were very important. I had no doubt that team was going to stay up because there was enough quality.
"I came out of it fully reassured that's what I want to do, zero doubt about it. I saw some of my ex-coaches after I left and they said, 'Now you can say you are a coach because you've been sacked'. I am not complaining and I can only say thank you to everybody, but to build a legacy and build something for the future, it takes time."
Henry could have returned to a comfortable life as a television pundit after leaving Monaco and has also received offers to return to coaching in the less pressurised capacity as an No 2. But the 42-year-old, who assisted Roberto Martinez with the Belgium team that reached last year's World Cup semifinals, only has eyes for another chance in the hot seat.
"I want to do it because I love the game, this is my life, my passion. When I came back to Arsenal for the second time as a player, I knew I wasn't who I was before.
"I had just come back from three weeks' holiday and Arsene Wenger said, 'Do you want to help?' My brother said, 'What do you have to gain? The only thing you can do is tarnish what you did'. But I don't think about the negative. That's why I went to Monaco and that's why I still want to be a coach. You think about having a positive impact.
"Call me crazy but I love football and believe I can be a successful coach. I'm not thinking about the pain, I'm not thinking about failure. I don't like easy. I like to lead and it's on me to make it happen. The same when I joined Arsenal as a player, the same when I went to Belgium with Roberto. It's an evolution.
"My phone didn't ring for four months after I left Monaco, and then all of a sudden, I got five calls. Some were not what I was looking for and some were as a No 2. Interesting offers but I can't leave my staff behind. I won't do a No 2 job because I want to be a No 1."
Henry has spent his free time watching football and travelling to speak to experts in other sports such as basketball and athletics in a bid to broaden his horizons.
"I manage to go to games without people noticing me, which is great. Sometimes I go to Arsenal and people don't even know I'm there. But I like to step out of my normal environment as well and speak to people in different sports and open my mind to different preparation."
Henry is prepared to return to coaching in any country or at any level if the opportunity is right, and is also aware that any request for time is pointless given the volatile nature of the job. So what will he ask in his next interview?
"Communication and honesty from the start is key. What's the job? Is the job to stay up, is the job to win the league or be in the Champions League? But how and what is success? Is success improving players? Ultimately, results are the most important thing, but I want to improve players as well."
