The Belgian forward joined Olympiakos from Anderlecht on Monday before immediately completing a season-long move to Goodison Park.
The Premier League club confirmed the deal on Tuesday morning and said it was done before the transfer window closed on Monday night.
MORE: Beautiful people who love the beautiful game | Transfer photos
The 18-year-old Henen moved from Anderlecht to Olympiakos on Monday before immediately signing a loan deal with the Goodison Park outfit.
Everton boss Roberto Martinez told the club's official website: "As we had said previously, he's someone whose potential we recognized and at this stage he will go into the Under-21 development squad.
"We [are] looking forward to working with him this season."
Henen is a Belgium youth international.