The All Blacks began their season with a stunning 66-28 thrashing of the Irish last Saturday, running in nine tries despite missing a number of front-line players.
But Henry insists there will be no sense of complacency in Dunedin this weekend as his side look to wave a winning goodbye to a Carisbrook ground hosting its last-ever Test match.
"Wales will probably be a tougher test than Ireland," said Henry. "People have to understand that it is hard to come across to the other side of the world and play a Test match in a week.
"They are similar sides with similar records over the last three or four years. Wales have quality footballers and it will be a difficult Test match in Dunedin.
"We were happy with the win over Ireland but also know that there are areas of our game we need to work on ahead of the Welsh Test, and that is our focus this week.
"We are expecting real intensity and physicality this weekend, which has been the hallmark of All Blacks-Wales matches in recent years."
Henry also insisted there was plenty to work on despite the massive-winning margin against Ireland in New Plymouth.
The former Wales and Lions coach admitted that there were areas of his side's game that didn't live up to expectation, even if he and his fellow coaches were more than satisfied with their overall showing against the 2009 Grand Slam Champs.
"We got loose and turned over in the second half, were a bit complacent and lost our intensity. Then it becomes difficult to defend against," added Henry, after Ireland scored four tries of their own despite playing for 65 minutes with just 14 men.
"The players ran out of gas in the final 20 minutes and it's something we can build on. We didn't look after the ball well but, overall, if you win by more than 30 points against Ireland, you should be pleased.
"I can't remember a better start to the season. My memory only goes back one year but we've had a great 10 days together. We gelled well and we showed that in the first half. I was very pleased and I thought we played some outstanding rugby."