At the Manchester Commonwealth Games in 2002, Henry won the women's 100 metre freestyle as well as being a member of the team that won both the 4x100 m freestyle relay and the 4x100 m medley relay. Later that year she won silver at the Pan Pacific titles in the 50 m and 100 m freestyle, and helped Australia to victory over the USA in the freestyle and medley relays.
In 2003, Henry won the 100 m silver medal, and picked up bronze in both the 4x100 m and 4x100 m medley relays at the World Championships in Barcelona. She was also named the Speedo female sprinter of the year for 2003.
Henry was awarded the Order of Australia Medal that year.
On 29 November 2004, Henry was named the Australian Swimmer of the Year, becoming just the third woman in 15 years to take the honor, joining Susie O'Neill and Hayley Lewis. Henry also snapped Ian Thorpe's 5-year streak of receiving the award. She narrowly defeated teammate Petria Thomas to take the honor. Henry was also named Female Sprint Freestyler and her win with Thomas, Giaan Rooney, and Leisel Jones in the 4x100 medley relay in Athens was named the Golden Moment of the Year.
Henry won the 100 m freestyle gold medal at the 2005 World Championships in Montreal, clocking 54.18s. That win came on top of her leadoff role in Australia's victorious 4x100 m freestyle team and second relay gold as a heat swimmer in the 4x100 m medley.
She is a friend and was a training partner of Alice Mills under Shannon Rollason, until after nine years, she announced that she would be switching to the tutelage of John Fowlie.
Lenton broke Henry's world record at the Commonwealth Games selection trials, setting a new mark of 53.42s. Henry finished with the silver medal at the 2006 Commonwealth Games, finishing behind compatriot Lenton (24.61) in the 50 m and (53.54) 100 m freestyle, clocking 53.78s and a personal best in the 50 m 24.72s for another silver behind Lenton. Henry swam in the 4x100 m freestyle relay, helping Australia to the gold medal.
On 25 March, at the 2007 World Aquatics Championships in Melbourne, Henry claimed gold again. Combining with Shayne Reese, rookie Melanie Schlanger and Libby Lenton, Henry anchored the Australian 4x100 m freestyle relay team in a world championship record time of 3:35.48 seconds, ahead of the USA in 3:35.68 and the Netherlands in 3:36.81.She also won another gold medal in the 4x100m medley relay.