Henry, who is set to make his loan move from Millwall permanent in January, settled Wanderers' nerves with an 81st-minute strike - scoring for the third successive match.
Kevin Doyle's seventh-minute opener had put the hosts on course for an 11th win in 13 league games but they also needed another inspired display from goalkeeper Carl
Ikeme to finally see off an impressive Boro side.
Jackett, whose side remain second in the table three points behind leaders Leyton Orient, said: "I always felt we needed a second goal and I think everyone in the ground felt
that as well.
"It was a quality goal, which I was looking for in the second half from one of my forwards.
"James has come off the wing, found himself central and put it away very well. He's had a bright start to his Wolves career and it does give him something to build on because he knows he can do it here and show his capabilities.
"He's given us another dimension down the right-hand side."
Jackett admitted that the win had a been a tough one and he added: "It was a hard-fought game. Stevenage put us under pressure all the way through.
"We had a lot of possession in both halves and, after an early goal, probably didn't do enough with it going forward.
"They defended their box and their goal very, very well and at 1-0 the game is always open and you know they are always going to keep going as they are a very fit and committed team. So to overcome it and get the three points is a very good achievement.
"It just shows you that you never win games easily. We have a reasonably solid look about us and we have to keep that going.
"We can't take anything for granted whatsoever. It was certainly not comfortable for us, although it was a very good win."
Jackett used the closing stages of the game to re-introduce £5million midfielder Jamie O'Hara after taking him off the transfer list.
O'Hara was met with some boos from the crowd but Jackett said: "I understand the overall situation where he's had some troubles here but I feel enough time has passed where it's really up to him now to prove that he wants to play and contribute to what we're going for this year, which is promotion."
Stevenage manager Graham Westley felt his side ultimately paid the price for initially being overwhelmed by the surroundings at Molineux.
He said: "In the first-half we played a little bit in awe of the crowd and the situation and the environment which I am furious about because I think the lads are better than that.
"But for 10 minutes it looked like we had forgotten everything that we came here with as a game plan and we gave them a leg up into the game. It is difficult when you do that at places like this.
"In the second-half I thought we settled down and showed some composure, produced our quality and how we didn't score God only knows.
"The Wolves goal led a very charmed life and it was disappointing to concede the second because I still think that if we had stayed in the game at that stage we know that they concede goals in the last 15 minutes of games and I fancied us.
"So it was a tough result to take in terms of us not producing our best in the first half. But there are a lot is positives to take from the 90 minutes too, I think.
"We out-shot them and I think we produced more clear cut chances than they did. On a different day we could have got something from the game.
"I was disappointed with both of the goals that we conceded. From a defensive point of view we are so much better than that.
"If you go out there and let the environment get the better of you then you make mistakes of the type that we made.
"It was disappointing because as I say the players are much better than they showed.
"It was up to us to play the players and not the arena and we were trying to make sure the players were equipped for that but they are not used to playing in front of these size of crowds.
"For 30 minutes or so the arena got the better of us but then we got a foothold in the game I thought we put them to the sword and it was only when they got the second goal that they got off the hook and I think they will be breathing huge sigh of relief."
- Sports & Recreation