Henry believes lessons should be learned from South Africa's abortive attempt at the Grand Slam last year, which saw the then Tri-Nations champions manage just two wins from four games.
The former Wales boss is keen to ensure his squad follow the old adage of one game at a time.
"If we get too far ahead of ourselves we will fall over," Henry told the Rugby Channel.
"South Africa had a Grand Slam possibility on their tour last year and they won two and lost two.
"I talked to the South African coach Jake White and he told me they had got too far ahead of themselves."
Henry's decision to give every member of his 35-man squad a Test start could ensure his Tri-Nations champions remain level-headed and he has stated skipper Tana Umaga will play only one of the first two Tests, against Wales or Ireland, with vice-captain Richie McCaw taking charge in his absence.
Newcomer, prop Neemia Tialata, who can play on both sides of the scrum, could also make his debut early in the tour with All Blacks forward coach Steve Hansen confirming a calf injury to Greg Somerville could see Tialata on the bench for the Test against Wales at the Millennium Stadium on November 5.
That Test against the Six Nations champions could present the biggest challenge of the tour given the number of players who will not have played competitive rugby since the end of the round robin phase of the National Provincial Championship in the second weekend of October.
"It is a tough challenge," Henry admitted. "We have got some players who played [in the NPC final on Saturday] and are ready for Test match rugby and we have others who have not played for four weeks. Then there's Leon [MacDonald] who has only had 10 minutes of rugby since the Tri-Nations.
"It is a great challenge but I'm sure they are up for the challenge. It will be the anniversary of the 1905 game and in the back of the mind, very much in the back of the mind, will be the challenge of a Grand Slam."