New boy Kylian Mbappe became the latest big-money PSG star to score on debut as he joined Neymar and Edinson Cavani in finding the target in a 5-1 rout of Metz on Friday.
But Henry insists the value of the club's incredible off-season spending, which included a world-record €222 million fee for Neymar, will be judged solely by their performances in Europe.
"Neymar and Mbappe joining PSG is great for the French league. It will raise the profile massively," Henry wrote in The Sun.
"If you had told me that would happen at the start of the summer, I would have said, 'Are you mad?' It is crazy.
"There will be a lot of pressure, though, because they have joined the group of teams who are judged on whether they win the Champions League.
"That is what you must expect at a big side."
PSG's fearsome attacking threesome pic.twitter.com/zdHJivbODh— PSG English (@PSG_English) September 9, 2017
Henry won the Champions League while at Barcelona in 2008-09 after losing in the final with Arsenal three years earlier, the second of five straight seasons in which an English team reached the decider.
The World Cup winner believes the time is right for a Premier League club to again challenge Real Madrid's recent monopoly.
"It has been too long since English clubs regularly went deep in the Champions League," he wrote.
"Man City are well equipped, Man United too. OK, Spurs might not have the depth.
"But there are five English clubs this time so it would be nice to see one of them involved at the business end."