The Molineux-based club have not won a match under Connor's guidance, resulting in their relegation to the Championship being confirmed on Sunday afternoon.
However, Henry has revealed that the entire Wolves squad are fully appreciative of Connor's efforts.
"I think he's done a great job, whether other people outside the club think that or not," Henry told BBC WM.
"We've seen the job he's done in the dressing room. It's a tough job that he's had to deal with."
Wolves have picked up just two points from a possible 30 during Connor's stint at the helm.