South Africa needed seven off the last over to win the final of the Zimbabwean Tri-Series in Harare.
Dewald Brevis was at the wicket and striking it nicely.
But experienced Black Caps right-armer Henry sealed the win with a gutsy final over.
Instead of going to the yorker to dot-up his opponent, he went for a hard length and the right-hander holed out dramatically.
George Linde was brilliantly caught from the penultimate ball as well to help seal a three-run win.
The Black Caps posted 180 for five.
South Africa were costing but got the wobbles and were restricted to 177 for six.
But with just seven runs needed from the final over, and six wickets in hand, South Africa had the whip hand.
But turns out Henry had the reins. He was named player of the match for his two for 19 from three overs.
Adam Milne (one for 27 from four) proved hard to get away, while New Zealand’s top three all made valuable runs.
Tim Seifert’s innings (28 off 30) was cut off by a quality catch by the captain Rassie van der Dussen at extra cover.
Left-arm spinner Senuran Muthusamy had hung the ball out wide and Seifert had to reach for it.
But van der Dussen had to reach further. He dived high to his right and intercepted it.
Still, Seifert and Devon Conway had put on 75 for the first wicket and the Black Caps had a very solid platform.
Conway pushed on to post 47 from 31 balls and Rachin Ravindra slapped 47 from 27.
But the Black Caps' innings fell away at the back end. They were not able to push on and bury the game.
That left the door ajar for the Proteas and they were cruising at 92 without loss.
Did someone say choke?
That might be a bit harsh, but the momentum changed when the Black Caps broke the opening stand between Lhuan-dre Pretorius (51 off 35) and Reeza Hendricks (37 off 31).
Pretorius was creating memories for the highlight reel on his way to his maiden T20 international half-century, while Hendricks was either blocking the ball or bashing it.
When he bashed it, the ball went for six.
Michael Bracewell got the important breakthrough. He lured Pretorius out of his crease and Seifert effected the stumping.
Hendricks pulled the ball to Conway at deep backward square.
Brevis clouted 31 from 16. He smashed three sixes — one of them was a one-handed effort.
He was inches away from swatting a fourth, but Bracewell showed great balance and some juggling skills at deep mid-wicket to take the catch right on the rope in a tense last over.
The match was still there for the taking, but Daryl Mitchell made a stunning diving catch to dismiss Linde.
And Henry closed the game with a dot ball to complete a tremendous over that proved the difference.
New Zealand was unbeaten during the series which also involved the home team Zimbabwe.
The Black Caps are set to play two tests against Zimbabwe, the first beginning on Wednesday.
NEW ZEALAND
T Seifert c van der Dussen b Muthusamy 30 (28)
D Conway c Burger b Ngidi 47 (31)
R Ravindra c Brevis b Burger 47 (27)
M Chapman c Hermann b Ngidi 3 (6)
D Mitchell not out 16 (14)
M Bracewell c Linde b Maphaka 15 (12)
M Santner not out 3 (2)
Extras (lb 6, w 13)19
Total (for 5wkts, 20 overs)180
Fall: 1-75, 2-101, 3-127, 4-152, 5-174.
Bowling: L Ngidi 4-0-24-2 (1w), N Burger 4-0-41-1 (3w)
K Maphaka 4-0-35-1 (3w), G Linde 1-0-9-0, S Muthusamy 3-0-27-1, C Bosch 4-0-38-0 (1w).
SOUTH AFRICA
L Pretorius st Seifert b Bracewell 51 (35)
R Hendricks c Conway b Foulkes 37 (31)
H van der Dussen c Mitchell b Milne 18 (17)
R Hermann c Mitchell b Duffy 11 (8)
D Brevis c Bracewell b Henry 31 (16)
G Linde c Mitchell b Henry 10 (10)
C Bosch not out 3 (2)
S Muthusamy not out 0 (1)
Extras (lb 1, w 15)16
Total (for 6wkts, 20 overs)177
Bowling: M Henry 3-0-19-2, J Duffy 4-0-36-1 (2w), Z Foulkes 3-0-36-1 (3w), A Milne 4-0-27-1, M Santner 3-0-29-0 (1w), M Bracewell 3-0-29-1 (1w).
Result: New Zealand won by three runs.
