At the close of the Civil War he was transferred to the Third Cavalry, a regiment with which he was destined to win lasting renown. It must have been hard for men who had exercised high command, and who had proved their fitness for it, to come down from general officers to subalterns; but Henry accepted the situation cheerfully. He was as proud of his troop of cavalry as he had been of his regiment and brigade of volunteers. His new detail took him to Arizona, where for two years he commanded a battalion engaged in hard scouting among the Apaches. The winter of 1874 found him at Fort Robinson in the Black Hills. While there he was ordered to go into the Bad Lands to remove certain miners who were supposed to be there in defiance of treaty stipulations. The day after Christmas, with his own troop and fifteen men of the Ninth Infantry under Lieutenant Carpenter, with wagons, rations, and forage for thirty days, the men set forth. The expedition involved a march of three hundred miles, over the worst marching country on the face of the globe, and in weather of unimaginable severity, the cold continually ranging from twenty to forty degrees below zero. The miners were not found, and on the return journey the command, which had suffered terrible hardships, was overtaken by a blizzard. When, in an Eastern city, the thermometer gets down to the zero mark, and it blows hard, with a heavy snow for twenty-four hours, people who are not familiar with the real article call such insignificant weather manifestations a blizzard. Imagine a fierce gale sweeping down from the north, filled with icy needles which draw blood ere they freeze the naked skin, the thermometer forty degrees below zero, a rolling, treeless country without shelter of any sort from the blinding snow and the biting wind, and you have the situation in which that expedition found itself. The storm came up an hour after breaking camp on what was hoped to be the last day on the return journey. To return to the place of the camp was impossible. To keep moving was the only thing to be done. The cold was so intense that it was at first deemed safer to walk than ride. The troops dismounted and struggled on. Many of the men gave out and sank exhausted, but were lifted to their saddles and strapped there, Henry himself doing this with his own hands. Finally, the whole party got so weak that it was impossible for them to proceed. In desperation, they mounted the exhausted horses and urged them forward. Henry had no knowledge of direction, but trusted to the instincts of his horse. He led the way. Many of the men had to be beaten to keep them awake and alive—to sleep was death.