The loan allows Henry to return to Arsenal, where he is the all-time leading scorer in club history with 226 goals in all competitions.
"It is unreal to be honest. But when it comes to Arsenal my heart will always do the talking," Henry said.
"Once I knew the plan behind it I was OK with it. I am not coming here to be a hero or prove anything. I am just coming here to help. People have to understand that. Marouane (Chamakh) and Gervinho are going to the Africa Cup of Nations so I was asked to fill in the gap. It is a loan deal and I'll be on the bench most of the time. If I can make the bench that is! The boss has a team here already who are doing something good. I am just going to be part of the squad."
Henry netted a team-leading 14 goals in 26 games for New York this past season, and he will return in time to feature in the season-opening match for the Red Bulls on March 11 at FC Dallas.
"We believe that this is a beneficial move for all parties involved," said Red Bulls general manager and sporting director Erik Soler. "From our perspective, we believe that Thierry will have the prime opportunity to develop his match fitness playing with Arsenal in preparation for our MLS regular season campaign. We are personally thrilled that Thierry has earned this chance to rejoin and help his former club and look forward to seeing him in preseason camp in February."