Barca take two-goal lead into semi second leg
The Primera Liga leaders dominated the early stages at the Nou Camp and teenage striker Bojan Krkic and midfielder Andres Iniesta both went close before Henry struck in the 35th minute.
Bojan clipped over an inch-perfect cross from the right and the French international leapt between two defenders to nod past Mallorca goalkeeper German Lux.
Marquez stepped up in the 73rd minute to take the freekick after Iniesta was brought down just outside the area and the Mexican defender bent the ball over the wall and into the top left corner.
In Wednesday's semi-final first leg, 2007 winners Sevilla fought back from a goal down to beat visiting Athletic Bilbao 2-1 thanks to Lautaro Acosta's injury-time winner.
The second legs are scheduled for the first week of March and the final is on May 13 in Valencia.
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