He was the fourth son of John III Killigrew (d.1567) of Arwenack, the first Governor of Pendennis Castle, of an old Cornish family, by his wife Elizabeth Trewenard, second daughter of James Trewenard of Trewenard. He was probably educated at Cambridge, but there is no definite information on the point. Killigrew served as a gentleman in the household of John Dudley, Duke of Northumberland, and became a lifelong follower of the Dudleys. On 18 February 1553 he was returned member of parliament for Newport-juxta-Launceston. He assisted Sir Peter Carew in escaping to the continent in January 1554, and during the remainder of Queen Mary of England's reign appears to have been in exile. Killigrew was at Paris in July 1556, when he was described by the English authorities as a rebel. From a French base, he and his brother Peter engaged in piracy. In August 1557, Henry was present at the Battle of St. Quentin, where Sir James Melville stated of him that "Harry Killygrew, an Englis gentilman, my auld friend," held his horse while he got his wound dressed after his escape. Killigrew was recalled to England on the accession of Elizabeth, and she employed him on various diplomatic missions, including one to Germany in connection with negotiations for a defensive league. In July 1559 he went for a short time to assist Nicholas Throckmorton in France.
Killigrew counted both Robert Dudley, Earl of Leicester and William Cecil, Lord Burghley as his patrons. He wrote to Dudley in 1562, regarding their Prostestant policies: "In these cases I take you to be as one". In July 1562 he led a military contingent at Rouen, as part of the Newhaven expedition. In June 1566 he was sent on a mission from Elizabeth to Mary, Queen of Scots, for the 'declaration of sundry things necessary to be reformed between them for the preservation of their amity'. He returned in the following July, and after the murder of Darnley was again sent to Scotland with a special message to the Queen of Scots, which he delivered to her 'in a dark chamber.'
On 20 April 1572 he was elected M.P. for Truro. In September, shortly after the St. Bartholomew's Day Massacre, he was again sent to Scotland, in connection with the negotiations for the surrender of the Queen of Scots to the Protestant lords, who would then immediately execute her. This was a scheme so secret that, apart from Killigrew, only Queen Elizabeth, Cecil and Leicester were privy to it on the English part. Due to the Earl of Mar's sudden death, nothing came of it. Killigrew ultimately succeeded in persuading Elizabeth to send an English force to assist in the siege of Edinburgh Castle. He remained in Scotland till the castle fell, and in numerous letters to Burghley minutely described the siege, and the negotiations connected with its surrender. Subsequently, he was employed in similar diplomatic missions in Scotland, Germany, France, and the Low Countries. The Treaty of Nonsuch gave the English crown the right to designate two councillors to the Dutch council of state. Killegrew served as an English Councillor on the Dutch Council of State in 1586, and again in 1587–1589. While in attendance on the Earl of Essex in France he was knighted on 22 November 1591. He was the first in England to write political memoirs to highlight and defend his actions during his career as a public servant. He died in the spring of 1603, his will having been proved on 16 April.
David Lloyd praises Killigrew in his Worthies for his learning and his artistic accomplishments. He states that, while a good musician, he was especially skilled as a painter, being "a Dürer for proportion ... an Angelo for his happy fancy, and an Holbein for oyl works", but no authenticated work of his brush is known. Killigrew gave £140 to Emmanuel College, Cambridge, for the purchase of St. Nicholas Hostel, the materials of which were applied to the construction of the lodge for Dr. Laurence Chaderton, the first master. His London residence was in Lothbury.
Killigrew lived in Hanworth in Middlesex and Falmouth in Cornwall. On 4 November 1566 Killigrew married in the church of St Peter Le Poer, London, Catherine, fourth daughter of Sir Anthony Cooke. He thus became Cecil's brother-in-law. His wife died in 1583, and on 7 November 1590 he was married in the same church to Jaél de Peigne, a French Hugenot. She was naturalised in June 1601. After Henry's death she remarried on 19 April 1617 George Downham, Bishop of Derry, and died c.1632.
By his first wife, Killigrew had four daughters:Anne, married first to Sir Henry Neville, and secondly to George Carleton, bishop of Chichester
Elizabeth, married first to Sir Jonathan Trelawny, secondly to Sir Thomas Reynell, and thirdly to Sir Thomas Lower.
Mary, married to Sir Reginald Mohun
Dorothy, married to Sir Edward Seymour.
By his second wife, he had a daughter and two sons:Jane
Joseph, ten years old at his father's death, succeeded to his estates.
He is a major character in the historical novel The Grove of Eagles by Winston Graham, which shows him in a generally sympathetic light. The novel turns largely on the declining fortunes of his nephew John Killigrew of Arwenack, who looks in vain to his uncle's influence to protect him from bankruptcy (in real life Henry did frequently help his nephew, but could not prevent his ultimate ruin). Henry is portrayed as one of the few advisers whom the Queen really trusts: "as close to her as a Father Confessor". Another character notes that while courtiers come and go, men like Henry serve the Queen decade after decade. His second marriage to Jael de Peigne is shown as being somewhat troubled, as his beautiful and much younger wife is discreetly unfaithful to him.