Henry will await scans to assess the nature of his setback, set to join Lockie Ferguson (achilles) and Mark Chapman (calf) in the casualty ward.
Given the degree to which they were outplayed by the Proteas, even a fully fit Black Caps would have struggled to alter the outcome.
Their worst performance of the tournament began at the toss when Tom Latham inserted a South African side who, to the surprise of no one, resoundingly proved the folly of that decision.
The Proteas made it eight straight 300-plus totals when batting first in ODIs, having already earned four convincing victories in India while averaging 380 in the first innings.
In contrast, the two occasions they chased at this tournament produced their only loss against the Netherlands and a nervy one-wicket win over Pakistan.
South Africa skipper Temba Bavuma said he was satisfied to bat in favourable conditions and, after he had nicked Trent Boult to slip in the ninth over, it became easy to see why.
Recovering from the loss of his partner, Quinton de Kock initially batted with more patience than panache, having come into the clash striking at 117 in this World Cup.
The retiring opener was on 20 from 36 with a solitary boundary as his side progressed to 61-1 after 15 overs, before finally freeing his arms. He and Rassie van der Dussen weren’t flawless as they increased the scoring rate, fortunate on a few occasions to see a miscue evade the field, but the Black Caps never managed to sustain pressure.
South Africa reached 155-1 after 30 as De Kock passed 500 runs for the tournament and van der Dussen registered his half-century, both batters still lacking a little timing as the Black Caps sensed an opportunity lost.
The timing duly came and the inevitable onslaught followed, De Kock (114 off 116) notching his fourth ton in India before giving Tim Southee a wicket on his return to the team.
That broke a match-winning 200-run stand from 189 balls, but van der Dussen (113 off 118) continued the charge with admirable assistance from David Miller (53 off 29).
Already the most prolific death-overs team at the tournament, the Proteas racked up 119 runs in the final 10, only Trent Boult (1-49) stemming the flow of runs.
Having come painfully close to overhauling Australia’s 388 over the weekend, the Black Caps at least began another daunting chase knowing this was the scenario they had envisaged at the toss.
Devon Conway edging to slip in the third over, however, was not part of the plan, nor Rachin Ravindra picking out fine leg in the ninth. Once Will Young had been undone by a ripper from Gerald Coetzee, the Black Caps were reduced to 56-3 and the required rate had swelled above eight.
Latham’s day became worse when he sent a leading edge straight to cover off Kasigo Rabada, while Daryl Mitchell’s ploy to attack spinner Keshav Maharaj lasted less than an over before he holed out.
That dismissal saw New Zealand lose 4-20 to essentially end the contest, with a late boundary barrage from Glenn Phillips (60 off 50) merely delaying the inevitable.
