Coming to London, Henley was welcomed by the wits, and was on good terms with the Earl of Dorset and Earl of Sunderland. At the 1695 English general election he stood for Parliament at Newtown (Isle of Wight), but was defeated. This seems to have stimulated his interest in politics and by 1697 he was going to meetings of the Whig Rose Club, and later the Kit-Cat. He was returned as Member of Parliament for Andover at the 1698 English general election. He married in 1700, Mary Bertie, daughter of Peregrine Bertie and his wife Susan Monins, daughter of Sir Edward Monins of Waldershare, Kent. He gained £30,000 by his marriage. He did not stand in either of the general elections of 1701, but was returned as Whig MP for Weymouth and Melcombe Regis at the 1702 English general election. He was several times a teller for the Whigs. At the 1705 English general election he was returned again as Whig MP for Weymouth. He voted for the Court candidate for Speaker on 25 October 1705 and was again a frequent teller on behalf of the Whigs. He was returned for Weymouth again at the 1708 British general election and supported the naturalization of the Palatines in 1709. On 14 December 1709 he moved the address to Queen Anne, urging some dignity in the church for Benjamin Hoadly, based on his justification of Revolution principles. He voted for the impeachment of Dr Sacheverell in 1710. He was returned again for Weymouth at the 1710 British general election and survived a petition against his return.