Andrew Henry was born in Fayette County, Pennsylvania and was tall and slender, with dark hair, blue eyes, and a reputation for honesty. Henry went to Nashville, Tennessee, in his twenties, but moved on to Spanish Upper Louisiana Territory in 1800 (before the Louisiana Purchase), to the lead mines near present-day Potosi, Missouri, and in 1806, he bought a share of a lead mine.
In 1809, he joined with Manuel Lisa, Jean Pierre Chouteau and William Clark to found the Missouri Fur Company. He soon led an expedition to the Three Forks of the Missouri River near present-day Three Forks, Montana, where he built "Fort Henry". In 1811 Henry explored the Montana-Idaho wilderness and discovered Henry's Lake. During the same expedition, he built a post also, named “Fort Henry” on Henry's Fork of the Snake River, near present-day Saint Anthony, Idaho.
After many difficulties, especially with the Blackfoot Indians, Henry returned to Saint Louis, Missouri in January, 1812. When the War of 1812 was declared Henry enrolled in the army, rising to the rank of major.
In 1818, Henry married Mary Flemming, daughter of one of the owners of the lead mine. Mary Flemming was of French birth and considerably younger than Henry; the marriage was a happy one for them both and produced four children. Henry returned to lead mining.
In 1822, he started what would become the Rocky Mountain Fur Company with William H. Ashley. The new company sent three keelboats up the Missouri River, three different times. Henry led an expedition of 21 men, 60 horses and one keelboat to the mouth of the Yellowstone River and built a post that came to be known as Fort Henry. The next boat, under the command of Daniel Moore, sank, along with ten thousand dollars worth of provisions. Ashley equipped a third boat, piloted it himself, and was able to get through to Henry at the Yellowstone. Ashley then immediately returned to Saint Louis to make preparations for the following season.
In 1824, after a profitable season and many harrowing adventures, Andrew Henry retired from the company and returned, once more, to lead mining. He died in Washington County, Missouri on January 10, 1832.