Directing and later stage career
After 1980, Henry performed and directed at major arts venues across North America, including Tarragon Theatre, Canadian Stage, Globe Theatre, the National Arts Centre, Roy Thompson Hall, Citadel Theatre, Theatre Calgary, Manitoba Theatre Centre, Shaw Festival, Neptune Theatre, and Carnegie Mellon University.
Henry was artistic director of the Grand Theatre in London, Ontario, from 1988 to 1995, during which time she programmed a wide variety of contemporary works, including newer plays such as Oleanna by David Mamet, The Rez Sisters by Tomson Highway, and The Stillborn Lover by Timothy Findley.
Henry's return to the Stratford stage in 1994 as Mary Tyrone in Long Day's Journey Into Night was widely acclaimed, and the production was remounted for the 1995 season. A filmed version of the production earned her a Genie Award for Best Actress at the 17th Genie Awards. The return also marked the start of a second lengthy run for Henry at Stratford, with her performing in leading and supporting roles, directing, and instructing. In 2007, she was appointed director of Stratford's Birmingham Conservatory for Classical Theatre Training, a program that has trained many promising new Canadian actors. Her production of All My Sons by Arthur Miller was included in multiple theatre reviewers' lists of top theatre productions in 2016. In 2017, she took over leadership of Stratford's Michael Langham Workshop for Classical Direction.
In 2018, in her 44th season of performing, at age 80, Henry played Prospero in The Tempest, directed by Antoni Cimolino. Chris Jones, theater critic for the Chicago Tribune, wrote "in all my years watching shows at this theater, a miragelike fountain of excellence ... I have never seen anything quite like the experience of watching Henry".
During the COVID-19 pandemic in 2021, Henry played the role of "A" in Three Tall Women by Edward Albee at Stratford's Studio Theatre. In his review of the production, J. Kelly Nestruck of the Globe and Mail said "Henry’s performance is a reminder of how much more daringly theatrical her generation of stage actors – she’s now in her 80s – can be". A stage to screen adaptation of Henry's final performance in Three Tall Women was captured by director Barry Avrich months before Henry died; following its television broadcast in 2022, it received several Canadian Screen Award nominations at the 11th Canadian Screen Awards in 2023, including a posthumous nod for Henry in the category Best Performance in a Television Film or Miniseries.