The All Blacks arrived in Britain and immediately travelled to Cardiff ahead of the Test against Wales.
They then face Ireland, England and Scotland over successive weekends before returning home at the end of November.
Henry is hoping to build on the summer Test victories over the British & Irish Lions and their Tri-Nations success but is not primarily concerned with results or completing a 'Grand Slam' over the home nations.
"Our policy is to develop some depth across the field, to have a couple in each position capable of playing international rugby," the former Lions and Wales coach said.
"If a Grand Slam occurs, that would be a bonus, quite frankly. It's not an easy thing to do.
"The Springboks came over last year as Tri-Nations Champions, they'd given us a hammering in Johannesburg, and they lost to England and Ireland, so we know it will be hard."
Henry stressed that while the opening match against Wales on November 5 was a massive game - particularly 100 years on from the original All Blacks' defeat in Cardiff which was the only loss on that trip - he regarded the other clashes as equally challenging.
"Wales played superbly in the Six Nations last year and I am sure they will be eager to go at the Millennium Stadium," he said.
"It's always tough at Lansdowne Road. Ireland beat the Springboks there last year. The conditions make it a difficult place to play and whenever I've been there it's been hard.
"England will be festering after their disappointing show last year. They'll be out to get back to their World Cup level.
"I think they'll be harder Tests than the Lions were. Those players who were on that tour will be highly motivated to put that memory behind them."