The 32-year-old former Arsenal and Barcelona player signed a multiyear contract on Wednesday and he is expected to make his Red Bulls' debut on July 22 in an exhibition against Premier League club Tottenham.
"Some people might think I am going to go there for vacation — I do actually go there for vacation — but it won't be for vacation this time," Henry said in a video interview on the club website. "I'm a competitor and I don't like to lose."
Henry was released by Barcelona last month after scoring just four goals last season.
"This marks an exciting new chapter in my career and life," Henry said.
Henry will be introduced at a press conference on Thursday at Red Bull Arena in Harrison, N.J.
"Thierry is not only a world class player who will undoubtedly improve our squad, but he has shown most importantly throughout his career that he is a winner," said Erik Soler, general manager and sporting director of the Red Bulls. "He has made it clear to us that he is committed in the short and long term to help in our vision of making our organization the premium franchise in Major League Soccer."
With France, Henry won the World Cup in 1998 and the 2000 European Championship, but sparked outrage last year when his handball during a playoff match helped to deny Ireland a spot at this year's World Cup.
At the finals in South Africa, France went out at the group stage after the team was beset by a player protest.
Henry guided Arsenal to the Premier League title in 2002 and 2004 before leaving in 2007 to join Barcelona, where he won six trophies in 2009 — the Champions League, the Spanish league, the Copa del Rey, the Spanish Supercup, the UEFA Supercup and the FIFA Club World Cup.
The Red Bulls, who previously were known as the MetroStars, have a history of signing star players in the twilight of their careers. Italian Roberto Donadoni played for them in 1996 and '97, Brazilian great Branco was with them in 1997, German Loather Math's in 2000 and Frenchman Youri Djorkaeff was here in 2005 and '06.
None of them led the team to a title.
Red Bulls leading scorer Juan Pablo Angel welcomed Henry's arrival, which was announced just days after New York played a 0-0 tie with D.C. United.
"I think it means everything for the industry in this country," Angel said. "He's arguably one of the best players in our generation. He's a player that has won everything he could possibly win in this sport and he's still fit. I think it's an honor to have him here. He's going to be a tremendous addition to the league, to the Red Bulls."
There have been rumors for almost two years that Henry would one day join the Red Bulls. A year ago, he said he wanted to play in the United States and the door opened recently when he parted ways with Barcelona after a season in which he lost his starting job.
"We have been hearing about it for years now, for it to finally come to fruition is a good thing for the team," Red Bulls midfielder Seth Stammler said. "I'm sure it's good for him for the next step in his career. He's won championships at all levels. To come over here and not prove himself to the world in soccer, but take our team to the next level and hopefully get a championship here will be a good step for him and obviously great for the organization."
Henry wasn't a factor in the World Cup. He was not good enough to start for a French team that disgraced itself on and off the field.
However, the Red Bulls hope a combination of Angel and Henry up front can finally lead them to a title.
"It's kind of wild to think about it," rookie defender Tim Ream said. "Coming in, I knew I was going to be playing with Juan Pablo and I knew what kind of player he was. You put those two together it's pretty incredible. Front two, there is not much you can say about them. They are just spectacular players."