The 27-year-old has previously played in Europe for Bayer Leverkusen and Racing Santander - for whom he featured in loan spells from Barcelona.
Henrique spent four years under contract at Camp Nou, although spent them all on temporary spells at other clubs before rejoining Palmeiras permanently in 2012.
He is now heading back to Europe, however, and will join Rafael Benitez's side.
Napoli president Aurelio De Laurentiis posted on Twitter: "Welcome Henrique!
"Your experience and your quality will integrate perfectly with our great team."
Saint-Etienne left-back Faouzi Ghoulam is also expected to move to the Stadio San Paolo before Friday's deadline, with a host of other Serie A club bolstering their ranks late in the window.
Sassuolo have had a busy month, including hiring new coach Alberto Malesani - and confirmed two new players on Thursday.
The newly promoted club have brought Sergio Floccari from Lazio, as well as midfielder Matteo Brighi from Torino.
The Turin club, in return, have taken goalkeeper Jasmin Kurtic on loan from Sassuolo.
Joining Floccari out of Lazio's exit door is 20-year-old left-back Vinicius - who has joined Serie B side Padova on loan, with an option to join permanently.
Hernanes is expected to also leave Lazio on deadline day for Inter - although the Rome club are thought to be demanding €17 million for the playmaker.
