"It was a hell of a shock. It makes you feel very uncomfortable, but humble as well," said Henry, who added about McCaw,
"he is still a young fella and he will probably feel uncomfortable about a knighthood when he is captaining the side and still playing rugby."
Henry becomes the second Lions coach to be knighted, following in the footsteps of Sir Clive Woodward. Woodward, who toured with the Lions as a player in South Africa in 1980 and New Zealand in 1983 before coaching the tourists in New Zealand in 2005, received his honour for guiding England to the 2003 World Cup title.
Three times Lions tourist Williams, who has played in four Lions Tests in 103 international appearances, joined Scotland's most capped player, Chris Paterson, in being honoured in the New Year's Honours List in the UK.
The 36-year-old Cardiff Blues flanker made his 99th appearance for Wales this year, but missed out on the World Cup before breaking his arm. Paterson, 33, announced his international retirement in December after amassing 809 points in 109 internationals for Scotland, both national records.