"King Henry" is Child ballad 32, Roud 3967.
It is a version of the tale of the loathly lady. This form of the tale appears in Hrólfr Kraki's saga and also in the Scottish tale "The Daughter Of King Under-Waves". A similar bride is found in "The Marriage of Sir Gawain".
Versions
Steeleye Span included a version on the 1972 album Below the Salt.
Martin Carthy also recorded a version, currently available on Shearwater and The Carthy Chronicles: A Journey Through the Folk Revival disk 4 'Child:Carthy'.
Alexander James Adams, at the time recording as Heather Alexander included "King Henry-Black Nag" on the 2003 album Festival Wind.
References
King Henry (song) Wikipedia(Text) CC BY-SA