McCarthy has made new recruit Roger Johnson skipper in place of Henry, who has been club captain for three years.
"It was exceptionally tough," McCarthy said of the decision.
"He's come through the Championship and we've stayed in the Premier League for two seasons while Karl has been captain and he has been excellent.
"It was difficult because Karl has done nothing wrong."
McCarthy added that Henry's reaction to the decision has been professional.
"He reacted as I'd expect him to do.
"He got on with it, and keeps on doing what he does.
"He cannot let it affect his performances and he won't.
"I didn't like having to tell him either, because I have a great relationship with him.
"But that's what I get paid for - to make those decisions."
Wolves are not planning to bring in any more players during this transfer window, having acquired Johnson, Jamie O'Hara and Dorus de Vries.
Since their promotion to the Premier League two seasons ago, the club have gained a reputation for completing their business early in pre-season, and McCarthy believes this has helped him to snare some of his top targets.
He said: "If I'm vying for players like Kevin Doyle, Steven Fletcher, Stephen Hunt, Roger Johnson and Jamie O'Hara, if we don't go in and get them then all I'm doing is leaving it open for other people to go and sign them.
"And do you know what it does when you go in early? The players like that.
"It's saying 'I want to sign you, you're my first choice'. How good does it make them feel then?
"I don't have a list as long as my arm, I've got targets that I want and I've managed to get them."
Premier League managers will see their players in international action just three days before the first domestic game of the season, and McCarthy feels the timing of this round of international friendlies is not ideal.
He said: "It's just daft, isn't it?"
"It does nobody any favours at all, and it probably doesn't do the international managers any favours either because they are more focused on the start of the league .
"It's just not a great date, but we have to get on with it."
Source: Team Talk
Source: Team Talk