His early childhood was filled with depression, which he admitted in an interview and even used to take medicines to help himself out of low self-esteem. Depression mainly strained from the fact that his parents divorced when he was just three years old and was raised by his single mother. He got addicted to music when he listened to some hip-hop songs with his friend.

His personal life though has had quite a few women. His first girlfriend was reportedly singer Diamanda Galas who was six years older to him. Their relationship didn’t really get quite a lot of publicity and the start of their relationship was supposedly somewhere around early 1980s at a time when Henry had already become a star. Even the end of their relation seems to be a doubt.

Laura Cloud and Kira Roessler were the next two women in her life and they reportedly met because of similar professions. Both the relations were low-profile and there is not much available information about the same. His first official relation was in 1990 when he started dating co-actor Lydia Lunch. They were starred as a couple in the film Kiss Napoleon Goodbye. The two were seen to be quite close during the shoot and were even seen sharing some steamy scenes together in the film, fuelling the rumors even more. It was mostly a sensual affair as both were never seen in public events and on the red carpet that compelled the paparazzi to term it as a mere rumor.

His next relationship was with six years younger Kari Wuhrer who has been famous for dating quite a few men, before and after dating Rollins for about an year in 1999. Both vaguely met at some movie event and they instantly got hitched according to sources. Their relation though didn’t last long and they broke-up soon after.

Henry though made headlines when he was heard of dating a star from the adult film industry. Rumors spread like wildfire and it was found out that the screen name of the girl was Sophie Dee who entered into the industry from Canada. It was, when the girl was slowly but gradually entering the Hollywood film and television industry that the two met and supposedly started dating. The resulting relation was the talk of the town till certain differences saw the couple break-up in 2001, the same year that they met.

His next and supposed last relation till date was with Janeane Gorofalo who is famous for being a stand-up comedian and an activist. The two were in a relationship for two years from 2007-08. Henry never had a marriage despite being in quite a few relationships and he hasn’t faced the problems or the hassles of a divorce yet.