Mike Petke's Red Bulls host El Salvadorian club FAS on Tuesday, looking to put pressure on Group Three leaders Montreal Impact.
The Impact have beaten FAS twice already in the group stages, and the Red Bulls would like to do likewise in their bid to finish top and reach the quarter-finals.
"We started well the first 20 minutes. It was typical first half, we weren't good enough," Henry said.
"They scored, then it became difficult because they have quality.
"It was a conference game. We needed to win. We needed to be strong at home. You have to almost win them all right now.
"It was a must-win game, like every game will be until the end of the season."
Comunicaciones and America have both outclassed Bayamon FC, the group's bottom side.
Group Seven's top two – Herediano and Leon – meet on Wednesday.
Jamaican outfit Waterhouse will move top of Group Four if they can claim something at home to Panama's Tauro.
