Sunderland boss Sam Allardyce is keen to bolster his defensive options next season and while it is unlikely Henry would be competing for a first team spot next season, he is among those players being watched.
Birmingham-born Henry started his career at the Bescot Stadium and has worked his way through the club’s youth system before breaking into the first team, making 44 appearances last season, scoring three goals.
An England Under-19 international, the 18-year-old has two years left on his existing contract at Walsall.
He has also attracted interest from the likes of Arsenal, Manchester United, Tottenham Hotspur, Leicester City, Watford, Brighton & Hove Albion and Hull City.
"He was unique and one of a kind" - Family pays tribute to 'much-loved' cyclist who died in suspected hit and run collision in Sunderland
Violent Washington robber broke ex-partner's jaw and raided South Shields newsagents armed with knife
Families ordered to remove 'unauthorised' tributes from loved ones' graves in Sunderland cemeteries
15 pictures showing exactly why beautiful Washington Village is in the running for Britain in Bloom awards
Watch: DCI Joanne Brooks talks about the investigation that brought Jack Woodley's killers to justice
Sunderland have been scouting several youngsters from the Football League, with Leeds United wideman Charlie Taylor also tracked.
The 22-year-old is a product of the Leeds youth academy and has broken into the Elland Road first team, playing 43 games last season.
The former England Under-19 international can play as a left winger or left-back, an area Allardyce is keen to strengthen.
Meanwhile, Sunderland outcast Charis Mavrias could be heading for the exit door on a permanent basis this summer.
Mavrias spent the second half of the 2015-16 campaign on loan at German second tier outfit Fortuna Dusseldorf and he could be set for a permanent move after they avoided relegation.
The Greece international doesn't have a future on Wearside and reports suggest talks are planned between the club and Mavrias' agent.
The 21-year-old had been training and playing with Sunderland Under-21s for the first half of the season after a proposed move to Panathinaikos fell through last summer, following a loan spell at the Greek club.
But Mavrias - who has 12 months remaining on his Sunderland contract - secured a loan move to Dusseldorf in January and the loan deal included a view to a permanent deal in the summer.
Mavrias made 15 league appearances for Dusseldorf last season, scoring one goal.
The Greek winger was signed for £2.5million by former director of football Roberto De Fanti when Paolo Di Canio was manager.
However, the Italian was sacked just a few weeks into the season, to be replaced by Gus Poyet.
He has made just seven Sunderland appearances.