United midfielder Anthony Wordsworth had looked set extend Boothroyd's unbeaten run since taking charge in September to ten courtesy of a deflected free-kick in the 18th minute.
However Millwall had other ideas after the break, equalising with a 30-yard thunderbolt from Alan Dunne and winning through Henry's last-gasp free-kick.
Colchester - previously nine games unbeaten - nearly opened the scoring twice in the opening five minutes through striker Kayode Odejayi. However the deadlock was broken soon after when Wordsworth's free-kick took a deflection off midfielder Marc Laird and wriggled in.
Millwall hit back in the second half after Colchester failed to clear a corner and Dunne thumped home a right-foot shot from distance through a crowd of players.
Wordsworth nearly netted his second in injury-time but hit the bar with another free-kick only for Henry to show him how it was done 30 seconds later as Millwall moved into the play-off positions.