McHenry is believed to have been born in 1771. He married Hannah Ruth Blackford in the late 1790s in Logan County, Kentucky.
McHenry moved from Henderson County, Kentucky in 1810. The family settled in what is now White County, Illinois, along the trail between the salt works near Old Shawneetown, Illinois and Fort Vincennes.
In 1811, McHenry served in the Illinois Militia during Tecumseh's War, which culminated in the Battle of Tippecanoe in the Indiana territory. After the outbreak of the War of 1812, he participated in the attack on the Native American village at Peoria, which was allied with the British.
McHenry was a delegate to the Illinois Constitutional Convention in 1818, and elected to the first Illinois House of Representatives.
McHenry served as a major, leading the Mounted Spies, in the Blackhawk War in 1832. He became ill during the campaign, and was mustered out, at the age of 61. He was promptly elected to the State Senate.