Henney started modeling in the U.S. in 2001 and worked in France, Italy, Hong Kong and Taiwan while attending college. After his debut in South Korea with an advertisement for the Amore Pacific's cosmetic "Odyssey Sunrise", he became a spokesperson for commercials with Jun Ji-hyun for Olympus cameras and Kim Tae-hee for Daewoo Electronics's Klasse air conditioners.

Despite speaking no Korean, Henney became a household name through the South Korean hit TV drama, My Lovely Sam Soon, aka My Name is Kim Sam Soon. He played the role of Dr. Henry Kim, a surgeon who is devotedly in love with Hee-jin (played by Jung Ryeo-won). Sam Soon was the most popular Korean drama in 2005; although Henney was starring as the supporting actor, his performance and good looks were widely noticed.

Henney then starred in another drama, “Spring Waltz” in 2006. He later learned the language and appeared on a few variety shows, such as Family Outing. Henney was a part of an academic scandal in which many sources stated that he had an Economics degree from the University of Illinois at Chicago, while in actuality he had no college degree.

In 2009, he portrayed Agent Zero in the film X-Men Origins: Wolverine. In the fall season of 2009, he played "Dr. David Lee" in the CBS television drama Three Rivers.

In 2010, Henney returned to South Korea television for KBS2's The Fugitive: Plan B, alongside Rain and Actress Lee Na-young.

Since 2012, Henney has appeared in several American TV series. In 2015, he starred as Special Agent Matt Simmons in the American television series Criminal Minds: Beyond Borders, a spin-off of Criminal Minds.

On June 21, 2017, it was announced that he has joined Criminal Minds as a series regular for season 13.