The decree nisi order was made by a District judge at the principal registry of the High Court’s family division in central London amid speculation that Henry, aged 30, could face the biggest divorce payment by a footballer.
Ms Merry, aged 27, a model and mother of their two-year-old daughter Tea, is expected to be entitled to a large part of the former Arsenal striker’s fortune, estimated at £25 million (€37m).
There is newspaper speculation that Ms Merry is demanding £10m (€14.8m).
The couple shared a six-bedroom home in Hampstead, north London, which he bought for £5.95m (€8.82m).
They met when they starred together in television ads for Renault Clio cars in which Henry used his “va va voom” catchphrase.
French international Henry announced he was leaving Claire in June, just before his transfer to Spanish club Barcelona, where he is reportedly paid £130,000 (€192,700) a week.
Claire was reported to be unhappy about moving to Barcelona and upset when Henry walked out on their four-year marriage. Since then he is said to have developed a close friendship with a Spanish actress.
The Henry divorce was one of 34 decrees nisi rubber-stamped by Judge Malik yesterday.
None of the parties was present, and it will be at least six weeks before a decree absolute can be granted. Divorce experts have predicted that a judge could order a “clean break”, with Claire receiving a lump sum payment rather than a proportion of his future earnings.
Henry’s wife was granted a decree nisi on the grounds of his behaviour, according to court papers.
Details of the actual behaviour referred to were not released, but she confirmed that it was “continuing”.