The 35-year-old becomes the third signing by David Hopkin and is available to face Oxford United tomorrow.
Henry was released by Bolton Wanderers at the end of last season.
He joins Paul Caddis and Jim O’Brien in signing for the Bantams since the transfer window closed at the end of August.
Henry said: “It is obviously a huge club and one of the things the gaffer said to me was, ‘Come and play in front of 15,000’. They are expecting around 20,000 this weekend - and for League One, that is huge support.
“I went to Bolton last year in a similar situation and certainly helped them stay up. So, hopefully, I can come and help the boys with what already seems to be the start of a turnaround.”