Henry, 61, had to re-apply for his job after the All Blacks crashed out of the World Cup with a quarter-final defeat to France.
He said: "I'm very grateful for the chance to continue. We have been a strong and successful team over the last few years but we were hugely disappointed we didn't bring the World Cup back for New Zealanders.
"We have learned lessons from this campaign and we now look forward to being able to build on those learnings and the experience we have."
Henry faced stiff competition from Crusaders Super 14 coach Robbie Deans, while Ian Foster and Colin Cooper were also interviewed for the post.
But ultimately the NZRU board were impressed by Henry's overall record with the All Blacks, despite the recent World Cup failure.
Henry has led the All Blacks to a hat-trick of Tri-Nations titles, a European Grand Slam tour and a 3-0 series win over the Lions.
Mike Eagle, acting chairman of the NZRU, said: "At the end of the process, the board concluded that Graham Henry was the best candidate for the position.
"Graham's record, both on and off the field, is among the best in All Blacks rugby history.
"He has set a very high standard in coaching, player management, and integration with the wider New Zealand rugby community. He has given a lot in a successful period for our game and the Board is convinced he has more to give the All Blacks and New Zealand rugby.
"As a result, we believe that in the best interests of New Zealand rugby, Graham and his team were the right choice."
Eagle added that the NZRU board must bear as much responsibility for the All Blacks' World Cup disappointment as Henry.
He said: "We are all disappointed not to have won the Rugby World Cup. In that regard, the NZRU board accepts it was jointly responsible and accountable for the result and the planning that went into the campaign. We are committed to learning the key lessons."