The Gallic genius was in irrepressible form in Stadio Olimpico as The Gunners resumed their quest for Europe's big prize in perfect fashion.
Antonio Cassano had given Roma a rapid lead before Henry stole the show with his tremendous treble.
The first half was a frenetically high-tempo affair as the two European giants traded blow upon blow.
It was Roma who drew first blood after an incisive move speared through the heart of the Arsenal defence after just four minutes.
Temperamental youngster Cassano played a swift one-two with Francesco Totti and surged into the penalty area but the chance appeared to be lost when he dallied in the box.
However, the Italian Under-21 international dragged his right foot shot onto the post and watched the ball spin across the face of goal and inside the other upright.
Arsenal's response was devastating and they were level just over 60 seconds later courtesy of the lively Henry. The Frenchman collected a pass from Gilberto Silva and beautifully stroked the ball beyond Francesco Antonioli.
Henry's pace continued to pose problems and a dazzling run and shot was saved by Antonioli while the Roma keeper pushed away a Freddie Ljungberg cross as Gilberto threatened.
At the opposite end, The Gunners had to thank Pascal Cygan for keeping the scores at 1-1. The talismanic Totti was found unmarked, chested the ball down and volleyed unerringly beyond Rami Shaaban but imposing defender Cygan miraculously cleared off the line.
It was a fiercely contested tussle in the Eternal City with Walter Samuel booked for a crude lunge on Ljungberg.
Towards half-time Gilberto had a great chance to forge The Gunners ahead but his header was off target.
After the interval, the pace of the game seemed to drop markedly with a lot of jousting between the teams but no real thrust to their play.
Roma screamed for a penalty after the hour mark as Gianni Guigou burst into the box and though Shaaban was hesitant in coming off his line, he deflected the ball before crashing into the Uruguayan.
On 70 minutes, Arsenal poked their noses in front through the inspirational Henry. His initial headed attempt was blocked but the Gunners hot shot reacted quickest to drill a left foot effort between Antonioli's legs.
Roma threw Gabriel Batistuta into the fray and the veteran Argentine almost had an immediate impact when he teed up Cafu but Shaaban saved the Brazilian's shot.
Just a minute later, Arsenal were further in front and, if Henry's first two finishes were well executed, his hat-trick goal was out of the top drawer.
Henry lined up a free-kick on the left-hand edge of the box and Antonioli could only stand and admire as the ball sailed gracefully into the top corner.
From there, Arsenal shut up shop and kept possession in the closing moments to start the second round on the best possible footing.
Arsenal's chief Group B rivals Valencia were surprisingly held to a 1-1 draw at home to Ajax despite dominating against the Dutch outfit
Valencia piled relentless pressure on Ajax during the first half of their meeting in the Mestalla but could not find a breakthrough.
Norwegian striker John Carew should have scored after just two minutes but he bizarrely fired over from close range with the goal at his mercy.
Ajax rarely threatened, although Santiago Canizares saved well from Jari Litmanen while Carew was denied by visiting keeper Joe Didulica.
In the second half, Didulica was again proving a tough barrier to pass, as he kept out Carew's header and tipped a Ruben Baraja free-kick around the post.
But with just two minutes remaining, substitute Zlatan Ibrahimovic slotted the visitors into a shock lead.
With the clock ticking, Valencia were heading for their first Champions League defeat in the Mestalla until Miguel Angulo popped up in injury-time to equalise and then Roberto Ayala missed a chance to hand the hosts all three points.
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