Henry is the ex-girlfriend of former Chicago Bulls player Eddy Curry. Henry and Curry have a 3-year-old son, who was found in the South Loop apartment unharmed.
Police took a person of interest into custody in Michigan City, Ind., but Chicago police will only say that investigation is on-going.
Curry is not a suspect in the case. The Curry family released a statement: "Deeply saddened by this tragic loss and will keep the Henry family in their prayers."