Having impressed in the Wales team training camp in Poland, he started for Wales at inside centre in their 19-9 win over England on 13 August, before suffering a dislocated wrist which ruled him out of the World Cup.
Speaking at the Cardiff City Stadium, Henson said, "I've been saying I wanted to play back in Wales and I'm glad of the opportunity that Cardiff Blues have given me. I just want to do everything I can to make them happy and enjoy my rugby. I'm glad I've signed here.
"There's been huge rivalry between the Blues and the Ospreys over the years, and I've been part of that, so to leave and join the Blues is a bit strange.
"I'm sure when I meet up with all the boys it will be fine as I know most of them. When I do run out for my first game for the Blues, I will be Blues through and through.
"It's my first time at the stadium and the facilities I've seen at the Blues, from the training facility to the stadium, are incredible. It's a very exciting time for me."
Henson, who had spells with Saracens and Toulon last season, has signed ahead of Thursday's Heineken Cup squad deadline.
Speaking of his injury, Henson added, "The wrist is coming along alright. Obviously it was a nightmare injury for me, but I'm two weeks out of plaster now, so maybe a couple of weeks before I'm back on the pitch.
"It was nightmare timing getting that injury just before the World Cup, but these things happen. It's pretty tough mentally now, but it's healed and getting stronger, so I'm just looking forward to playing for my new club, The Blues."
"Going into the England game for Wales, I was feeling great physically. I'd done a lot of work with Wales and a lot of training, so I've tried to maintain that as best as I can, but some things are difficult because I was in plaster.
"I hope over the next few weeks now that the plaster is off that I will do other conditioning. I'm dying for the first opportunity with the Blues. The Blues have always had a great squad and there's no change there with all the youngsters that they have.
"They are strong at centre and strong at outside half, so it's up to the coaches where they want me to play. We will have to wait and see."