McHenry was named for Henry D. McHenry, a lawyer, banker, state representative, and senator whose influence brought the railroad and coal-burning locomotives to Ohio County. He was a member of the 1890-91 convention that framed Kentucky's present fourth constitution. McHenry was incorporated on Feb. 26, 1880, and its first trustees were W. G. Duncan, G. Render, J. Kelly, S. Williams, and O. Roll.