I searched the 1901 census of Sligo, and found 1 Henry household where the head was a boot & shoemaker. No idea if they are connected to your family but if you get no other leads, it might give you somewhere to start.
Looking at the likely marriage, Walter married Winifred Griffin on 26.4.1900 in the RC church in Kilmactigue. His father was David Henry. A Thomas Henry was a witness.