The 34-year-old Frenchman, on a short-term loan from Major League Soccer club New York Red Bulls almost five years after leaving the Premier League club, ignited a rather flat game when he came on in the 68th minute to a rapturous reception.
Ten minutes later he slid the ball home and rushed over to hug manager Arsene Wenger while the stadium erupted to celebrate Arsenal's record scorer notching his 227th goal for the club he played for from 1999 to 2007.
"I hope it won't be the last one," Henry told ESPN.
"It's kind of weird, I came back from holiday from Mexico 15 days ago, I never thought I'd perform for Arsenal again or score a winner.
"The feeling I had when I scored was amazing, I rejoined the club as a fan... scoring a goal when you support a club, now I know what some of the guys that played for Man United, Liverpool or Chelsea felt when they scored for the club they support."
Before it had even kicked off, the match was all about Henry whose loan deal until the end of February had been announced on Friday.
Every time he warmed up, the former France forward was cheered and many fans captured the moment on their mobile phone cameras when Henry donned the red and white shirt and came on for the ineffective Marouane Chamakh 22 minutes from time.
Action on the pitch had been laboured until his introduction as a well organised Leeds side contained their top-flight opponents.
That was all forgotten when Henry received Alex Song's pass and placed the ball into the far corner of the net to hand victory to Arsenal, who will host Aston Villa in the next round.
Wenger paid tribute to Henry's contribution.
"He has seen it all, he has done it all, we knew if we could find him he would be dangerous," Wenger told a news conference.
"He was already a legend and tonight he added a little bit more. I would not put him on the pitch if he wasn't ready'
"He had some pressure, he's a proud guy, he didn't want to disappoint people... it was a kind of comeback."
