Wales were in the match at the break, trailing just 15-9, after winning the possession stakes and territorial game in the opening period.
But for all their endeavour they only had a Stephen Jones drop goal and a penalty either side of a Leigh Halfpenny three-pointer from halfway to show for their efforts as try-scoring chances went begging.
New Zealand, on the other hand, were more clinical. Despite being under pressure for a large part of the half, they crossed through Keven Mealamu and a controversial Cory Jane score.
But Wales were unable to stay with the intensity of the Daniel Carter-inspired side in the second half, as the star fly-half crossed for two tries to complete a 27-point haul with Richard Kahui scoring a fifth try.
But Henry expects the visitors to hit back hard in the second and final Test in Hamilton on Saturday. “I think they’ve got a lot of pride, a lot of pride as a rugby nation,” Henry said.
“They will be hurting and when the Welsh dragon is hurt it usually breathes a bit of fire. I’d say they’d be right up for it.”
New Zealand head to Hamilton with several injury concerns, the most serious of which are lock Anthony Boric (fractured cheekbone), Israel Dagg (concussion) and Conrad Smith (eye).
Wales centre Andrew Bishop has also been ruled out for a month after breaking his hand in Dunedin.
Captain Ryan Jones has called on his players to dig deep and display some strength of character.
“It’s about picking yourself up and dusting yourself off because there is next week,” he said. “We can’t give up, pack up and go home. We’ve got to show a bit of character.”
Scotland captain Alastair Kellock has hailed their Test series victory in Argentina as the highlight of his international career so far.
The Scots claimed an impressive 13-9 win in Mar del Plata, having already defeated the Pumas 24-16 in Tucuman a week ago.
“This is the highest I’ve ever been, internationally-speaking,” said Kellock. “We came over here and we worked incredibly hard and the effort at the end of it was brilliant.
“To get two wins in a row against a good Argentinian team – massive credit should go to everyone involved.”
South Africa produced a subdued display but still comfortably beat Italy 29-13 in the first of a two-match series.
The world champions ran in three first-half scores via wing Bryan Habana, his 37th Test try, flanker Francois Louw and fly-half Morne Steyn to lead 22-3.
But after full-back Zane Kirchner had crossed early in the second half in Witbank, Italy earned respectability.
Scrum-half Tito Tebaldi sent captain Sergio Parisse over for a try and Mirco Bergamasco landed his second penalty.
The margin of defeat was Italy’s lowest in their nine Tests against the Springboks, who they play again in East London next Saturday.