Wanderers currently find themselves out of the Championship's drop zone by the virtue of goal difference alone thanks to Saturday's injury-time 2-2 draw against Leeds.
Another season of struggle in the Black Country comes after last term's woeful top-flight campaign in which the club finished rock bottom of the Premier League, 12 months after escaping by the narrowest of margins on the final day.
Despite Wanderers' current lowly position, midfielder Henry told the club's official website: "I know 'we're too good to go down' is a stupid thing to say but we've got more than enough here.
"We've played well in the last two games and we've deserved more, whereas we'd be thinking 'where is the light?' if we were playing badly."
He added: "We're in the thick of it now as results have gone against us. It's disastrous, but we'll be fine. We've got to keep going and keep believing to pull ourselves out of it.
"We need to start winning games. We need to roll our sleeves up and get out of this mess because we can't afford to get relegated.
"But the boys like the new manager (Dean Saunders). He's a good manager and had we had him at the start of the season we'd be at the other end of the table. Now we're in this mess, we need to get out of it."
Reflecting on a dismal recent period in the club's history, which also includes four different managers in the space of a year, Henry said: "It's been a tough 12 months, with the club having made changes. It's been a disastrous couple of years, even the year we just stayed up by the skin of our teeth.
"It was mentally draining and last year was a disaster from start to finish."