With just two minutes remaining, Ed Upson struck the winner to send the away fans into raptures and secure the club's first win in their first ever Championship match.
© Getty Images
The Lions started the better of the two teams and Josh Wright sent a 20-yard effort wide as the home side started to press forward.
Yeovil then had their first half-chance when Lions keeper David Forde was forced to smother the ball on the line.
After 32 minutes the away side could have taken the lead, but a left-footed shot from Luke Ayling went just wide.
It was the home side who produced the first noteworthy shot of the second half, as Marek Stech was forced to tip over Henry's drive.
There was little in the way of attacking threat from Yeovil, who were lucky not to fall behind when Henry shot wide of an open net.
However, with time running out, it was Gary Johnson's men who stole the three points through Upson's powerful shot.