He has paid $1.15 million for a two-bedroom terrace house in the inner-city suburb of Balmain.
Henry's new home has two double bedrooms, a large open plan living and dining room with polished timber flooring and an outdoor "hedge-framed entertaining area".
"I've never before lived right in the heart of a city, so I'm going to enjoy that," he says.
Henry will hold on to his palatial country house in Albany and his Hawke's Bay holiday home.
And after travelling around Australia, he is beginning to realise the enormity of the country.
"I'm not going to try and hide my lack of knowledge about Australia - I'm going to build it in. I think I can turn that to my advantage."
Henry leaves for Australia tonight after filming four episodes of his new TV3 show Would I Lie To You.
Meanwhile, TV3 political editor Duncan Garner has told friends that he wants to replace Henry as the Drive Time RadioLive host. A MediaWorks spokeswoman says a decision has not been finalised.